4
votes
Expected currency depreciation given sovereign default
I have actually looked into this a lot and I don't have a full answer.
You can (sort of) see what the market participants think by looking at the consensus "quanto factors" published monthly by IHS ...
- 13.2k
3
votes
Expected currency depreciation given sovereign default
Similar to above, I’ve wargamed this one in the past and come to the the simple conclusion that the currency and local equity return are informative about the probability of default.
Defaults are ...
- 5,141
1
vote
Zero-recovery swap / extinguisher swap
Counterparties A and B have a cross-currency swap that disappears (extinguishes) if credit C has a CDS-like credit event.
The underlying swap could be physical delivery or non-delivery; or many other ...
- 13.2k
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