Limitations of credit default swaps as predictor of default: BoC paper

bank-of-canada-2

Credit default swap (CDS) contracts are difficult to interpret during crises as the implied probability of default is not reflected in all aspects of banks' transactions, a Bank of Canada paper, published in August, says.

Jason Allen, Ali Hortaçsu and Jakub Kastl, the paper's authors, use data from the Canadian financial system during 2007 and 2008 to explore the reliability of using prices of CDS contracts as indicators of default probabilities. The aim of the paper is to analyse risk and

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe

You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Central Banking? View our subscription options

Register for Central Banking

All fields are mandatory unless otherwise highlighted

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account

.