Contractual Terms and CDS Pricing

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

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

Bank for International Settlements (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4051
Switzerland

Frank Packer

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt
Switzerland
4161 280 8449 (Phone)

Haibin Zhu

Bank for International Settlements (BIS) ( email )

Hong Kong
Hong Kong
852 2878 7145 (Phone)
852 2878 7123 (Fax)

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