Contractual Terms and CDS Pricing
12 Pages Posted: 21 May 2012 Last revised: 29 Sep 2013
Date Written: March 1, 2005
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