Measuring Default Risk Premia from Default Swap Rates and EDFs
This paper estimates recent default risk premia for U.S. corporate debt, based on a close relationship between default probabilities, as estimated by Moody's KMV EDFs, and default swap (CDS) market rates. The default-swap data, obtained through CIBC from 22 banks and specialty dealers, allow us to establish a strong link between actual and risk-neutral default probabilities for the 69 firms in the three sectors that we analyze: broadcasting and entertainment, healthcare, and oil and gas. We find dramatic variation over time in risk premia, from peaks in the third quarter of 2002, dropping by roughly 50% to late 2003
Year of publication: |
[2013]
|
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Authors: | Berndt, Antje |
Other Persons: | Douglas, Rohan (contributor) ; Duffie, Darrell (contributor) ; Ferguson, Mark (contributor) ; Schranz, David (contributor) |
Publisher: |
[2013]: [S.l.] : SSRN |
Saved in:
freely available
Extent: | 1 Online-Ressource (56 p) |
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Series: | BIS Working Paper ; No. 173 |
Type of publication: | Book / Working Paper |
Other identifiers: | 10.2139/ssrn.556080 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012712041
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