Baranovski, Alexander; Lieres, Carsten von; Wilch, André - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
term structure
models like the CIR model.
Keywords: CDS spreads, bond spreads, default intensity, credit derivatives … CDS spreads observed on an arbitrarily chosen trade day
(25.03.2008). Nelson Siegel functions have the advantage of ….03.2008
Substituting the fitted curves s(t) and r(t) = 0.045 – (0.000613 + 0.0059 t) exp(-0.617 t) for the CDS
spreads and short rate as …