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An Empirical Comparison of Default Swap Pricing Models

Houweling, Patrick; Vorst, Ton - Erasmus Research Institute of Management (ERIM), … - 2002

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

Fund liquidation, self-selection and look-ahead bias in the hedge fund industry

Verbeek, Marno; ter Horst, ter Horst, J.R. - Erasmus Research Institute of Management (ERIM), … - 2004

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

Dynamic hedging of portfolio credit derivatives

Cont, Rama; Kan, Yu Hang - HAL - 2011

We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across … a variety of models and hedging methods during the recent credit crisis. Our empirical analysis shows evidence for …-dimensional bottom-up models perform better than simpler top-down models. When it comes to hedging, top-down and regression-based hedging …

Persistent link: https://www.econbiz.de/10008873568