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~institution:"Erasmus University Rotterdam, Econometric Institute"
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credit default swaps
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credit risk
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default risk
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recovery rates
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reduced form models
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Houweling, P.
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Vorst, A.C.F.
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Pricing default swaps: empirical evidence
Houweling, P.
;
Vorst, A.C.F.
-
Erasmus University Rotterdam, Econometric Institute
-
2003
In this paper we compare market prices of credit default swaps with model prices. We show that a simple
reduced
form
…
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