Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and Capital Markets 47 (2014) 4, pp. 571-610
The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection sellers for future changes in CDS spreads caused by unpredictable fluctuations in the reference entity’s risk-neutral default intensity. This paper defines and estimates a...