IMF Publications by Subject
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Credit default swap:
2006
Title: Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices
Series: Working Paper No. 2006/148
Date: June 1, 2006
Subject: Corporate sector Credit Credit default swap Debt default Stocks
Title: A New Risk Indicator and Stress Testing Tool: A Multifactor Nth-to-Default CDS Basket
Series: Working Paper No. 2006/105
Date: April 1, 2006
Subject: Banking CDOs Credit Credit default swap Factor models
Title: Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance
Series: Working Paper No. 2006/104
Date: April 1, 2006
Subject: Asset and liability management Asset prices Asset valuation Bonds Credit default swap Financial institutions Money Prices Stocks
2005
Title: FIRST: A Market-Based Approach to Evaluate Financial System Risk and Stability
Series: Working Paper No. 2005/232
Date: December 1, 2005
Subject: Commercial banks Credit default swap Credit risk Stress testing Vector autoregression
Title: Overpricing in Emerging Market Credit-Default-Swap Contracts: Some Evidence from Recent Distress Cases
Series: Working Paper No. 2005/125
Date: June 1, 2005
Subject: Bonds Credit Credit default swap Currencies Emerging and frontier financial markets
2004
Title: Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
Series: Working Paper No. 2004/027
Date: February 1, 2004
Subject: Credit Credit default swap Emerging and frontier financial markets Financial markets Financial services Money Securities markets Yield curve
2003
Title: Are Credit Default Swaps Spreads High in Emerging Markets: An Alternative Methodology for Proxying Recovery Value
Series: Working Paper No. 2003/242
Date: December 1, 2003
Subject: Bonds Credit default swap Financial institutions Money
Title: Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
Series: Working Paper No. 2003/106
Date: May 1, 2003
Subject: Credit Credit default swap Credit risk Financial crises Financial regulation and supervision Financial services Money Yield curve