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Default and recovery implicit in the term structure of sovereign CDS preads
This paper explores the nature of default arrival and recovery implicit in the term structures of sovereign CDS spreads. The authors argue that term structures of spreads reveal not only the arrival rates of credit events ..., but also the loss rates given credit events. Applying their framework to Mexico, Turkey, and Korea, they show that a single-factor model with ... following a lognormal process captures most of the variation in the term structures of spreads. The risk premiums associated with unpredictable variation in ... are found to be economically significant and co-vary importantly with several economic measures of global event risk, financial market volatility, and macroeconomic policy..Printed journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | The American Finance Association., |
|---|---|
| Edisi | - |
| Subjek | Credit studies Spread Risk premiums |
| ISBN/ISSN | 221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |