Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/86084 
Erscheinungsjahr: 
2002
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 02-004/2
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
In this paper we compare market prices of credit default swaps with model prices. We showthat a simple reduced form model with a constant recovery rate outperforms the market practice ofdirectly comparing bonds' credit spreads to default swap premiums. We find that the model workswell for investment grade credit default swaps, but only if we use swap or repo rates as proxy fordefault-free interest rates. This indicates that the government curve is no longer seen as thereference default-free curve. We also show that the model is insensitive to the value of theassumed recovery rate.
Dokumentart: 
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