Estimation and evaluation of the term structure of credit default swaps: An empirical study

Ren Raw Chen*, Xiaolin Cheng, Bo Liu

*此作品的通信作者

研究成果: 期刊稿件文章同行評審

5 引文 斯高帕斯(Scopus)

摘要

Chen, Cheng, Fabozzi and Liu [Chen, Ren-Raw, Cheng, Xiaolin, Fabozzi, Frank, Liu, Bo, 2008. An explicit, multi- factor credit default swap pricing model with correlated factors. J. Financial Quantitative Anal. 43 (1), 123-160] provide an explicit solution to the value of the credit default swap when the interest rate and the hazard rate are correlated. They also provide empirical evidence to support the model with transaction prices. In this paper, we extend their empirical work to study the term structure of CDS spreads by using a matrix CDS dataset from J. P. Morgan Chase. Matrix data contain interpolated prices based on traders' expectations, which are often criticized as being "unreal". However, the benefit of this matrix dataset is that it contains the entire credit spread curves, which allows us to understand the cross-sectional variation of the credit risk. The empirical results show that the parameters of the model are highly significant and it captures most of the cross-sectional as well as time series variation.

原文英語
頁(從 - 到)339-349
頁數11
期刊Insurance: Mathematics and Economics
43
發行號3
DOIs
出版狀態已出版 - 12 2008
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