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- W2144405193 abstract "Reduced-form models of default calibrated to expected default losses and comovements between default losses and an equity-based pricing kernel generate CDS spreads that tend to fall below historical values. In frictionless markets, resolving this credit spread puzzle requires credit-market investors, especially those in high-quality debt, to be more risk adverse than equity-market investors. In the absence of market segmentation, however, the puzzle points to a liquidity component that, depending on the model specification, can account for more than half of historical CDS spreads. These findings caution against fitting reduced-form models to CDS spreads without accounting for market segmentation or frictions." @default.
- W2144405193 created "2016-06-24" @default.
- W2144405193 creator A5090443683 @default.
- W2144405193 date "2014-01-01" @default.
- W2144405193 modified "2023-09-24" @default.
- W2144405193 title "Decomposing CDS Spreads and Their Variation" @default.
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- W2144405193 doi "https://doi.org/10.2139/ssrn.2413011" @default.
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