Editorial Type:
Article Category: Research Article
 | 
Online Publication Date: 01 Jun 2015

Expanding an Appraiser's Toolbox With Credit Default Swaps

CFA, ASA and
BS
Page Range: 88 – 95
DOI: 10.5791/0882-2875-34.2.88
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The purpose of this article is to demonstrate how data from credit default swaps (“CDSs”) can be used by appraisers and financial professionals in performing valuation analyses. This article will provide various uses of data from CDSs, including determining risk factors in the general economic market and valuing debt guarantees or other types of contingent liabilities.

Copyright: © 2015, American Society of Appraisers
Figure 1
Figure 1

Gross Notional Outstanding

Figure 2
Figure 2

Distribution of Credit Default Swaps

Figure 3
Figure 3

Credit Spread Indices

Figure B1
Figure B1

World CDS Monitor26

Figure B2
Figure B2

Country Selection27

Figure B3
Figure B3

Rating Selection28

Figure B4
Figure B4

Industry Selection29

Figure B5
Figure B5

Historical Range— and Contract-Specific Filters30

Figure B6
Figure B6

Cross-Asset View31

Contributor Notes

Joseph W. Thompson, CFA, ASA, is Director, The Griffing Group, 6821 W North Avenue, Oak Park, Illinois 60302, United States (also Adjunct Professor of Finance at DePaul University, 1 East Jackson, Chicago, Illinois 60604, United States); phone, 708-383-9050; e-mail: jwt1978@gmail.com.

Alexander Jakosa is Equity Research Associate at Raymond James, 222 S Riverside Plaza, 7th Floor, Chicago, Illinois 60606, United States; phone, 312-655-2706.

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