Article2014

Actuarial Par Spread and Empirical Pricing of CDS by Decomposition

18 citations0/0 files storedGlobal Credit Review

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Credit Risk and Financial Regulations Insurance and Financial Risk Management Stochastic processes and financial applications

Abstract

The following sections are included:INTRODUCTIONTERM STRUCTURE OF PHYSICAL PDs AND ACTUARIAL PAR SPREADSA NUMERICAL EXAMPLEEMPIRICAL PRICING OF CDS VIA DECOMPOSITIONACKNOWLEDGMENTNOTESAPPENDIXREFERENCES

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2016“Options, Futures, and Other Derivatives”2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2006Multi-period corporate default prediction with stochastic covariates 2009The Determinants of Credit Default Swap Premia 2012Multiperiod corporate default prediction—A forward intensity approach 2017The CDS‐Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns 2012Multiperiod Corporate Default Prediction with the Partially-Conditioned Forward Intensity

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