Abstract
In this article, the authors use a structural credit risk model developed by Geske (1977) and generalized by Chen et al. (2014) to assess the delinquency risk of US Treasury debt implied by US sovereign CDS spreads. They also use the fitted structural model to determine the implied debt ceiling for the Federal Government.
| Original language | English |
|---|---|
| Pages (from-to) | 6-26 |
| Number of pages | 21 |
| Journal | Journal of Fixed Income |
| Volume | 31 |
| Issue number | 1 |
| DOIs | |
| State | Published - 06 2021 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2021 University of Ljubljana - Veterinary Faculty. All rights reserved.
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 10 Reduced Inequalities
Keywords
- Credit risk management
- Financial crises
- Financial market history*
- Fixed income and structured finance
- Quantitative methods
- Statistical methods
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