The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
Using an extensive cross-section of US corporate CDS this paper offers an economic understanding of implied loss given default (LGD) and jumps in default risk. We formulate and underpin empirical stylized facts about CDS spreads, which are then reproduced in our affine intensity-based jump-diffusio...
| Main Authors: | , , |
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| Format: | Others |
| Language: | en |
| Published: |
Cambridge University Press
2010
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/3027/1/SchneiderSoegnerVeza10.pdf http://dx.doi.org/10.1017/S0022109010000554 |