Skip to main content

Questions tagged [sovereign-cds]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
1 vote
1 answer
281 views

Zero-recovery swap / extinguisher swap

Trying to understand the idea of a zero-recovery swap, for example, a xccy swap with a default clause that allows you to walk away without any future payment from either side if the counterparty ...
eMe's user avatar
  • 43
0 votes
1 answer
670 views

Which spread to use to analyse CDS data from Markit

So I am currently doing some analysis on CDS Data and I am using Markit to extract this data. However, I am a bit confused regarding the quotation standards here. I want to investigate the ...
ohRyZze's user avatar
0 votes
1 answer
315 views

Calculate zero recovery discount curve from bond yields and cds prices?

Clarifying the below: Given the prices of bonds that are not trading in distress as yet (so yields are meaningful), and data on the CDS spreads, I’ve been looking for some approaches for estimating a ...
CreditNecromancer's user avatar
0 votes
1 answer
559 views

Hazard rate and Term structure model

About the paper of Pan and Singleton 2008 “Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads”, once the lambdas (hazard rates) for the different tenors of the term structure ...
d0whes's user avatar
  • 47
1 vote
1 answer
207 views

Basic CDS terminology

new to CDS. Few basic questions on terminology and conventions: If I look at a Sovereign 5-year Chinese CDS then the graph shows a CDS value of 42.520. (Source). Is this 42.52 basis points? Is it ...
user39555's user avatar
2 votes
1 answer
1k views

How to measure effectiveness of CDS hedging

In a fixed income emerging markets portfolio investing in Sovereign and Corporates, CDS on governement bonds are used for hedging credit risk. To be clear CDS are used to hedge both the exposure of ...
tweedi's user avatar
  • 527
3 votes
1 answer
128 views

Is it possible to sell protection on own asset with CDS?

Is it possible for a company to sell protection on their own assets or own country bonds by CDS? The company can buy protection on those assets, but how about selling? I suppose it can not sell. Is ...
Excalibur's user avatar
5 votes
0 answers
117 views

Why use sovereign default risk to determine equity risk premiums?

Damodaran's paper "Equity Risk Premiums..." (2016) discusses the standard of using various measures of sovereign default risk (e.g. Moody's ratings, bond default spreads, CDS spreads) to estimate ...
RJ123's user avatar
  • 51
0 votes
1 answer
133 views

CDS for Funding

I was wondering if anyone is familiar with how credit default swaps can be used for corp funding and financing. I came across an old case where a bank created a funding structure for a client (asset ...
MarkKnight's user avatar
0 votes
2 answers
2k views

dataset on Credit Default Swap [duplicate]

I would like to have the CDS for the main countries. Do you know where I could find these data free to use? Thanks a lot
Klapaucius's user avatar