Specht, Leon - In: Junior Management Science (JUMS) 8 (2023) 1, pp. 1-42
I analyze the dynamics of European credit default swap spreads by estimating CDS spreads via an extension of the structural credit risk models by Black and Cox (1976) as well as Leland (1994), the so called CreditGrades model proposed by Finger et al. (2002). Using two different procedures in...