CDS-implied risk of US delinquency: Implications for the US debt ceiling

Ren Raw Chen; John D. Finnerty; Bruno G. Kamdem

doi:10.3905/JFI.2021.1.114

CDS-implied risk of US delinquency: Implications for the US debt ceiling

Ren Raw Chen
, John D. Finnerty
, Bruno G. Kamdem

Fordham University
George Washington University

研究成果: 期刊稿件 › 文章 › 同行評審

2 引文斯高帕斯（Scopus）

摘要

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.

原文	英語
頁（從 - 到）	6-26
頁數	21
期刊	Journal of Fixed Income
卷	31
發行號	1
DOIs	https://doi.org/10.3905/JFI.2021.1.114
出版狀態	已出版 - 06 2021
對外發佈	是

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© 2021 University of Ljubljana - Veterinary Faculty. All rights reserved.

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10.3905/JFI.2021.1.114

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引用此

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title = "CDS-implied risk of US delinquency: Implications for the US debt ceiling",

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.",

keywords = "Credit risk management, Financial crises, Financial market history*, Fixed income and structured finance, Quantitative methods, Statistical methods",

author = "Chen, \{Ren Raw\} and Finnerty, \{John D.\} and Kamdem, \{Bruno G.\}",

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AB - 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.

KW - Credit risk management

KW - Financial crises

KW - Financial market history

KW - Fixed income and structured finance

KW - Quantitative methods

KW - Statistical methods

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CDS-implied risk of US delinquency: Implications for the US debt ceiling

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