Han, Bing; Zhou, Yi - In: Journal of Empirical Finance 31 (2015) C, pp. 18-35
firms. Consistent with the predictions of structural models of credit risk, we find that the slope of CDS spread term … models. Our results suggest that while structural models are qualitatively useful for understanding the shape of credit term … after controlling for the contemporaneous variables that determine changes in the CDS spreads according to the structural …