Arbeitspapier
An Empirical Comparison of Default Swap Pricing Models
In this paper we compare market prices of credit default swaps with model prices. We showthat a simple reduced form model with a constant recovery rate outperforms the market practice ofdirectly comparing bonds' credit spreads to default swap premiums. We find that the model workswell for investment grade credit default swaps, but only if we use swap or repo rates as proxy fordefault-free interest rates. This indicates that the government curve is no longer seen as thereference default-free curve. We also show that the model is insensitive to the value of theassumed recovery rate.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 02-004/2
- Klassifikation
-
Wirtschaft
- Thema
-
Swap
Derivat
Zinsstruktur
Optionspreistheorie
Swap
Derivat
Optionspreistheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Houweling, Patrick
Vorst, Ton
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Houweling, Patrick
- Vorst, Ton
- Tinbergen Institute
Entstanden
- 2002
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