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• W2891585730 abstract "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 previously stable firms default, and thus are deep out-of-the money put options on the overall economy. When calibrated to consumption data and to the equity premium, the model explains the spreads on CDX tranches prior to and during the 2008 to 2009 crisis." @default.
• W2891585730 created "2018-09-27" @default.
• W2891585730 creator A5033907317 @default.
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• W2891585730 date "2018-10-01" @default.
• W2891585730 modified "2023-09-30" @default.
• W2891585730 title "Do Rare Events Explain CDX Tranche Spreads?" @default.
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• W2891585730 doi "https://doi.org/10.1111/jofi.12705" @default.
• W2891585730 hasPublicationYear "2018" @default.
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