Berndt, Antje; Jarrow, Robert A.; Kang, ChoongOh - In: Stochastic Processes and their Applications 117 (2007) 11, pp. 1724-1749
This paper estimates the price for restructuring risk in the US corporate bond market during 1999-2005. Comparing quotes from default swap (CDS) contracts with a restructuring event and without, we find that the average premium for restructuring risk represents 6%-8% of the swap rate without...