Default resolution and access to fresh credit in an emerging market

Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market

In this paper, I show that a sizable component of emerging market sovereign yield spreads is due to factors other than default risk such as liquidity. I estimate the non-default component of the yield spreads as the basis between the actual credit default swap (CDS) premium and the hypothetical CDS premium implied by emerging market bond yields. On average, the basis is large and positive for s...

Default Distribution and Credit Market Implications

We study the implied default distributions for the iTraxx-CJ tranches by means of the Principle of Maximum Entropy. The profiles are quite different from those of some popular probabilistic models. We show how to analyze the correlation structures, the conditional default probabilities pi,j and conditional default correlations ρi,j . Here the subscript i,j means that the default probability and...

Counterparty credit risk and the credit default swap market

Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced. We examine this issue using an extensive proprietary data set of contemporaneous CDS transaction prices and quotes by 14 different CDS dealers selling credit protection on the same under...

Hedging of Basket Credit Derivatives in Credit Default Swap Market

Equity Prices , Credit Default Swaps , and Bond Spreads in Emerging

This Working Paper should not be reported as representing views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. In this paper we examine equilibrium price relationships and pric...