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.
- © 2005 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600