Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises:
Gespeichert in:
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV048350569 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 220713s2003 xx o|||| 00||| eng d | ||
| 020 | |a 1451852916 |c 15.00 USD |9 1-451-85291-6 | ||
| 020 | |a 9781451852912 |c 15.00 USD |9 978-1-451-85291-2 | ||
| 035 | |a (ZDB-1-IMF)845904744 | ||
| 035 | |a (OCoLC)1337116669 | ||
| 035 | |a (DE-599)BVBBV048350569 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-20 |a DE-824 |a DE-70 |a DE-155 |a DE-29 |a DE-22 |a DE-473 |a DE-1102 |a DE-703 |a DE-859 |a DE-706 |a DE-384 |a DE-860 |a DE-19 |a DE-739 |a DE-355 |a DE-Aug4 |a DE-1049 |a DE-12 |a DE-91 | ||
| 100 | 1 | |a Chan-Lau, Jorge A. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises |c Chan-Lau, Jorge A |
| 264 | 1 | |a Washington, D.C |b International Monetary Fund |c 2003 | |
| 300 | |a 1 Online-Ressource (20 p) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a IMF Working Papers |v Working Paper No. 03/106 | |
| 520 | 3 | |a 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 | |
| 533 | |a Online-Ausg | ||
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-1-IMF | ||
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-033729836 | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-20 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-824 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-70 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-155 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-29 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-22 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-473 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-1102 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-703 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-859 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-706 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-384 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-860 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-19 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-739 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-355 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-Aug4 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-1049 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-12 |p ZDB-1-IMF |x Verlag |3 Volltext | |
| 966 | e | |u http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |l DE-91 |p ZDB-1-IMF |x Verlag |3 Volltext | |
Datensatz im Suchindex
| DE-BY-TUM_katkey | 2673524 |
|---|---|
| _version_ | 1821936410039418882 |
| any_adam_object | |
| author | Chan-Lau, Jorge A. |
| author_facet | Chan-Lau, Jorge A. |
| author_role | aut |
| author_sort | Chan-Lau, Jorge A. |
| author_variant | j a c l jac jacl |
| building | Verbundindex |
| bvnumber | BV048350569 |
| collection | ZDB-1-IMF |
| ctrlnum | (ZDB-1-IMF)845904744 (OCoLC)1337116669 (DE-599)BVBBV048350569 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>05037nam a2200577 cb4500</leader><controlfield tag="001">BV048350569</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">220713s2003 xx o|||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1451852916</subfield><subfield code="c">15.00 USD</subfield><subfield code="9">1-451-85291-6</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781451852912</subfield><subfield code="c">15.00 USD</subfield><subfield code="9">978-1-451-85291-2</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-1-IMF)845904744</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1337116669</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV048350569</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-20</subfield><subfield code="a">DE-824</subfield><subfield code="a">DE-70</subfield><subfield code="a">DE-155</subfield><subfield code="a">DE-29</subfield><subfield code="a">DE-22</subfield><subfield code="a">DE-473</subfield><subfield code="a">DE-1102</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-859</subfield><subfield code="a">DE-706</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-860</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-739</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-Aug4</subfield><subfield code="a">DE-1049</subfield><subfield code="a">DE-12</subfield><subfield code="a">DE-91</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Chan-Lau, Jorge A.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises</subfield><subfield code="c">Chan-Lau, Jorge A</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Washington, D.C</subfield><subfield code="b">International Monetary Fund</subfield><subfield code="c">2003</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (20 p)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">IMF Working Papers</subfield><subfield code="v">Working Paper No. 03/106</subfield></datafield><datafield tag="520" ind1="3" ind2=" "><subfield code="a">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</subfield></datafield><datafield tag="533" ind1=" " ind2=" "><subfield code="a">Online-Ausg</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-1-IMF</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-033729836</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-20</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-824</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-70</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-155</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-29</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-22</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-473</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-1102</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-703</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-859</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-706</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-384</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-860</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-19</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-739</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-355</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-Aug4</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-1049</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-12</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml</subfield><subfield code="l">DE-91</subfield><subfield code="p">ZDB-1-IMF</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV048350569 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T19:42:20Z |
| institution | BVB |
| isbn | 1451852916 9781451852912 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033729836 |
| oclc_num | 1337116669 |
| open_access_boolean | |
| owner | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
| owner_facet | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
| physical | 1 Online-Ressource (20 p) |
| psigel | ZDB-1-IMF |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | International Monetary Fund |
| record_format | marc |
| series2 | IMF Working Papers |
| spellingShingle | Chan-Lau, Jorge A. Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises |
| title | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises |
| title_auth | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises |
| title_exact_search | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises |
| title_full | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises Chan-Lau, Jorge A |
| title_fullStr | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises Chan-Lau, Jorge A |
| title_full_unstemmed | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises Chan-Lau, Jorge A |
| title_short | Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises |
| title_sort | anticipating credit events using credit default swaps with an application to sovereign debt crises |
| url | http://elibrary.imf.org/view/IMF001/00345-9781451852912/00345-9781451852912/00345-9781451852912.xml |
| work_keys_str_mv | AT chanlaujorgea anticipatingcrediteventsusingcreditdefaultswapswithanapplicationtosovereigndebtcrises |