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Essay

Credit Default Swaps in Emerging Markets

Essay specific features

 

Issue:

Business

 

Written by:

Gregg H

 

Date added:

October 4, 2016

 

Level:

University

 

Grade:

A

 

No of pages / words:

6 / 1446

 

Was viewed:

1850 times

 

Rating of current essay:

 
Essay content:

Argentine Bonds at Default ...................................................................................................4 3. Default Probabilities using Cheapest-to-Deliver Bonds .........................................................5 4. Brazil??s CDS Spreads in 2002 ........................
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This note provides some evidence from Argentina and Brazil that reveals inconsistency between theory and practice in pricing CDS spreads in EM. This note suggests an alternate methodology that links CTD (cheapest to deliver) bonds to recovery values assumed in CDS contracts. I. CORRELATION BETWEEN RECOVERY VALUE AND PROBABILITY OF DEFAULT The assumptions underlying the correlation between recovery value r, and the probability of default p is key to understanding CDS spreads...
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General issues of this essay:
Asia'S Lessons For Emerging Markets Credit Default Swaps in Emerging Markets Developing Partner In Emerging Markets Economic Theory Suggests That Markets Are Efficient And Security Prices Are Determined On The Basis Of Fundamental Value Economic Theory Suggests that Markets are Efficient and Security Prices are Determined on the Basis of Fundamental Value Emerging Markets of Latin America forward,futures and swaps Life Cycles Of Emerging Markets Predictability Of Stock Price Returns In Select Emerging Markets Shariah And Swaps (Islamic Finance) Study of Emerging markets study of US bonds vs Euro bonds The Legacy That Got Left On The Shelf - Unilever And Emerging Markets stand and deliver What "Wit" suggests about redemption
 

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