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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.

, 20 pages

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Empirical study of dependence of credit default data and equity prices
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Journal of Futures Markets, 29(8), 695–712, 2009 BibTeX reference