Berndt, Antje; Douglas, Rohan; Duffie, Darrell; … - Carnegie Mellon University, Tepper School of Business
This paper estimates the degree of variation over time in the price for bearing exposure to U.S. corporate default risk during 2000-2004, based on the relationship between default probabilities, as estimated by Moody’s KMV EDFs, and default swap (CDS) market rates. The default-swap data,...
