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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...
Persistent link: https://www.econbiz.de/10010837529
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...
Persistent link: https://www.econbiz.de/10010837672
equity, equity options e credit default swaps (CDSs) in modo coerente. Il modello puo' anche essere utilizzato per risolvere … normale univariata, sono coerenti con il volatility skew osservato nel mercato delle equity options e convergono verso le …
Persistent link: https://www.econbiz.de/10010791325