Suchergebnisse
Filter
5 Ergebnisse
Sortierung:
SSRN
An Empirical Comparison of Default Swap Pricing Models
In this paper we compare market prices of credit default swaps with model prices. We showthat a simple reduced form model with a constant recovery rate outperforms the market practice ofdirectly comparing bonds' credit spreads to default swap premiums. We find that the model workswell for investment grade credit default swaps, but only if we use swap or repo rates as proxy fordefault-free interest rates. This indicates that the government curve is no longer seen as thereference default-free curve. We also show that the model is insensitive to the value of theassumed recovery rate.
BASE
Factor Investing in the Corporate Bond Market
In: Financial Analysts Journal, 2017, Vol. 73, No. 2
SSRN
Factor Investing in Emerging Market Credits
In: The Journal of Index Investing, Forthcoming
SSRN
The Joint Estimation of Term Structures and Credit Spreads
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that result from subtracting independently estimated government and corporate term structures. The obtained spread curves are smooth functions of time to maturity, as opposed to the twisting curves one gets from the traditional method, and are less sensitive to model specifications. To determine the 'optimal' model specification, we use a newly developed test statistic that compares spread curves from competing models.
BASE