Jankowitsch, Rainer; Pullirsch, Rainer; Veza, Tanja - In: Journal of Banking & Finance 32 (2008) 7, pp. 1269-1285
Under standard assumptions the reduced-form credit risk model is not capable of accurately pricing the two fundamental credit risk instruments - bonds and credit default swaps (CDS) - simultaneously. Using a data set of euro-denominated corporate bonds and CDS our paper quantifies this...