کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077307 1374125 2008 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimation and evaluation of the term structure of credit default swaps: An empirical study
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Estimation and evaluation of the term structure of credit default swaps: An empirical study
چکیده انگلیسی

Chen, Cheng, Fabozzi and Liu [Chen, Ren-Raw, Cheng, Xiaolin, Fabozzi, Frank, Liu, Bo, 2008. An explicit, multi- factor credit default swap pricing model with correlated factors. J. Financial Quantitative Anal. 43 (1), 123-160] provide an explicit solution to the value of the credit default swap when the interest rate and the hazard rate are correlated. They also provide empirical evidence to support the model with transaction prices. In this paper, we extend their empirical work to study the term structure of CDS spreads by using a matrix CDS dataset from J. P. Morgan Chase. Matrix data contain interpolated prices based on traders' expectations, which are often criticized as being “unreal”. However, the benefit of this matrix dataset is that it contains the entire credit spread curves, which allows us to understand the cross-sectional variation of the credit risk. The empirical results show that the parameters of the model are highly significant and it captures most of the cross-sectional as well as time series variation.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 43, Issue 3, December 2008, Pages 339-349
نویسندگان
, , ,