Contractual Terms and CDS Pricing

Settlements, Bank for International; Packer , Frank; Zhu, Haibin

Contractual Terms and CDS Pricing

BIS Quarterly Review, 2005

12 Pages Posted: 21 May 2012 Last revised: 29 Sep 2013

See all articles by Bank for International Settlements

Bank for International Settlements

Bank for International Settlements (BIS)

Frank Packer

Bank for International Settlements (BIS)

Haibin Zhu

Bank for International Settlements (BIS)

Date Written: March 1, 2005

Abstract

Contractual terms related to the definition of trigger events and deliverable obligations on single-name CDSs are priced into CDS spreads. Pricing of the differences in contract terms appears to have generally converged over time, although there still seems to be evidence of a degree of regional fragmentation.

JEL Classification: G12, G13

Suggested Citation: Suggested Citation

Settlements, Bank for International and Packer, Frank and Zhu, Haibin, Contractual Terms and CDS Pricing (March 1, 2005). BIS Quarterly Review, 2005 . Available at SSRN: https://ssrn.com/abstract=1884901