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• W3034309224 abstract "There have been 128 defaults among U.S. CDS reference entities between 2001 and 2020. Within this sample, the five-year CDS spread is a significant predictor of corporate default in models with equity market covariates and firm attributes. This finding holds for forecast horizons up to 12 months, among financial and non-financial firms, within and without the great financial crisis, and is robust to the inclusion of corporate bond and equity options market information. A decomposition of the CDS spread into liquidity, physical default, and risk premium components shows that most of its predictive power for corporate default comes from the physical default component, both in- and out-of-sample. These results confirm the relevance of information contained in single-name CDS pricing to corporate default prediction." @default.
• W3034309224 created "2020-06-19" @default.
• W3034309224 creator A5013143994 @default.
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• W3034309224 date "2020-01-01" @default.
• W3034309224 modified "2023-09-26" @default.
• W3034309224 title "Credit Derivatives and Corporate Default Prediction" @default.
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• W3034309224 doi "https://doi.org/10.2139/ssrn.3578188" @default.
• W3034309224 hasPublicationYear "2020" @default.
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