terms of a single perpetual-bond equivalent issue, we define leverage, show the stochastic nature of equity volatility and … the leverage parameter L and make use of the univariate normal distribution function, are consistent with the volatility …

importance of volatility and jumps extracted from the futures in explaining CDS spread changes. The analysis is performed at an …, with negative jumps having higher impact during the crisis. The continuous volatility part is significant and positive … indicating that futures volatility conveys relevant information for the CDS market. As for the analysis per rating group …

positive impact of event risk captured by the overall stock market volatility and of investors' appetite for exposure to credit …

volatility and jump risks of individual firms from a unique dataset of high-frequency CDS spreads. I find that the volatility …. In the cross-section I find that volatility risk can explain 63% of the variation in the credit spreads whilst jump risk … forecasts 55%. For the CDX index I find that the volatility risk alone predicts 22% of the variation in the CDX index levels …

of the derivative, but also the probability of default of a counterparty. Another complication arises in the calculation …