Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works...

A wide range of empirical biases hampers hedge fund databases. In this paper we focus upon survival-related biases and disentangle look-ahead biases due to self-selection of funds and due to fund termination. Self-selection arises because funds voluntarily report their information to data...

This paper applies a survival analysis to individual hedge fund data reported in the Lipper TASS database. We use several methodologies including the non-parametric survival analysis, the Semi-parametric Cox proportional hazard analysis with shared frailty, and the logit analysis to assess the...