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The Journal of Fixed Income

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Primary Article

Credit Default Swaps

Theory and Empirical Evidence

Lei Meng and Owain AP Gwilym
The Journal of Fixed Income Spring 2005, 14 (4) 17-28; DOI: https://doi.org/10.3905/jfi.2005.491109
Lei Meng
A Ph.D. candidate in finance in the School of Management and Business of the University of Wales in Aberystwyth, UK.
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  • For correspondence: lmm03@aber.ac.uk
Owain AP Gwilym
A professor of finance in the School of Management and Business of the University of Wales in Aberystwyth, UK.
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Abstract

Structural and reduced-form models are the primary vehicles for pricing credit default swaps (CDS). This evaluation of the emerging empirical literature on CDS analyzes the evidence on the impact of recovery forms on pricing models, the relationship between CDS premiums and credit spreads on the same reference entity, the determinants of CDS premiums, and interaction between the CDS market and other markets.

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The Journal of Fixed Income
Vol. 14, Issue 4
Spring 2005
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Credit Default Swaps
Lei Meng, Owain AP Gwilym
The Journal of Fixed Income Mar 2005, 14 (4) 17-28; DOI: 10.3905/jfi.2005.491109

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Credit Default Swaps
Lei Meng, Owain AP Gwilym
The Journal of Fixed Income Mar 2005, 14 (4) 17-28; DOI: 10.3905/jfi.2005.491109
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