Exploring mispricing in the term structure of CDS spreads
Yes === Based on a reduced-form model of credit risk, we explore mispricing in the CDS spreads of North American companies and its economic content. Specifically, we develop a trading strategy using the model to trade out of sample market-neutral portfolios across the term structure of CDS contrac...
| Main Authors: | , , , |
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| Language: | en |
| Published: |
2018
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10454/15730 |