Do Rare Events Explain CDX Tranche Spreads?
We investigate whether a model with time-varying probability of economic disaster can explain prices of collateralized debt obligations. We focus on senior tranches of the CDX, an index of credit default swaps on investment grade firms. These assets do not incur losses until a large fraction of prev...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Blackwell Publishing Ltd
2018
|
| Online Access: | View Fulltext in Publisher |