Healthy... Distress... Default

We discuss a simple, exactly solvable model of stochastic stock dynamics that incorporates regime switching between healthy and distressed regimes. Using this model, which is analytically tractable, we discuss a way of extracting expected returns for stocks from realized CDS spreads, essentially, the CDS market sentiment about future stock returns. This alpha/signal could be useful in a cross-sectional (statistical arbitrage) context for equities trading

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Year of publication:	2019
Authors:	Kakushadze, Zura
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Insolvenz \| Insolvency \| Kreditrisiko \| Credit risk \| Gesundheit \| Health \| Gesundheitsvorsorge \| Preventive care \| Staatsbankrott \| Sovereign default

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Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Risk & Control 6(1) (2019) 113-119, Invited Editorial Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 4, 2019 erstellt
Classification:	G00 - Financial Economics. General ; G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G20 - Financial Institutions and Services. General ; G23 - Pension Funds; Other Private Financial Institutions ; G24 - Investment Banking; Venture Capital; Brokerage ; G30 - Corporate Finance and Governance. General ; G32 - Financing Policy; Capital and Ownership Structure ; G33 - Bankruptcy; Liquidation ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012863946