Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. International Capital Markets Department.
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| ISBN: | 1451898576
9781451898576
1281155756
9781281155757
1462325718
9781462325719
1452783535
9781452783536
9786613777119
6613777110
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| Notes: | Includes bibliographical references (page 26).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | In reduced-form pricing models, it is usual to assume a fixed recovery rate to obtain the probability of default from credit default swap prices. An alternative credit risk measure is proposed here: the maximum recovery rate compatible with observed prices. The analysis of the recent debt crisis in Argentina using this methodology shows that the correlation between the maximum recovery rate and implied default probabilities turns negative in advance of the credit event realization. This empirical finding suggests that the maximum recovery rate can be used for constructing early warning indicators of financial distress.
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| Other form: | Print version: Chan-Lau, Jorge A. Anticipating credit events using credit default swaps, with an application to sovereign debt crises. [Washington, D.C.] : International Monetary Fund, ©2003
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| Standard no.: | 10.5089/9781451898576.001
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