| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089903 | Journal of Banking & Finance | 2012 | 14 Pages |
Abstract
⺠We endogenize exogenous default barrier models. ⺠The optimal default barrier is derived from actual data on equity prices. ⺠CDS pricing errors are compared for different default barrier specifications. ⺠The empirically optimal default barrier generates the lowest CDS pricing errors.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Santiago Forte, Lidija Lovreta,