Credit Default Swaps In Emerging Markets
I. Correlation Between Recovery Value and Probability of Default .........................................3
II. An Alternate Methodology: The Cheapest-to-Deliver Bonds for Argentina and Brazil .......4
III. Implication of CDS Spreads for Distressed Emerging Markets ...........................................6
Figures
1. Credit Default Swap in Practice .............................................................................................3
2. Argentine Bonds at Default ...................................................................................................4
3. Default Probabilities using Cheapest-to-Deliver Bonds .........................................................5
4. Brazil¡¯s CDS Spreads in 2002 ................................................................................................5
References...................................................................................................................................7
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An......
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