Houweling, Patrick; Vorst, Ton - Faculteit der Economische Wetenschappen, Erasmus … - 2002
Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple … to default swap premiums. We find that the model works well for investment grade credit default swaps, but only if we use …. Keywords: credit default swaps, credit derivatives, credit risk, default risk, default-free interest rates …