G-2006-28
Empirical Study of Dependence of Credit Default Data and Equity Prices
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We investigate the common practice of estimating the dependence structure between CDS prices on multi-name credit instruments by the dependence structure of the equity prices of the firms involved. We find convincing evidence that the practice is inappropriate for high-yield instruments and that it may even be flawed for instruments containing only firms within a sector.
Published April 2006 , 20 pages
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Jan 2009
Empirical study of dependence of credit default data and equity prices
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Journal of Futures Markets, 29(8), 695–712, 2009
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