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• W3121609987 abstract "In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model outperforms directly comparing bonds' credit spreads to default swap premiums. We find that the model yields unbiased premium estimates for default swaps on investment grade issuers, but only if we use swap or repo rates as proxy for default-free interest rates. This indicates that the government curve is no longer seen as the reference default-free curve. We also show that the model is relatively insensitive to the value of the assumed recovery rate." @default.
• W3121609987 created "2021-02-01" @default.
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• W3121609987 date "2005-12-01" @default.
• W3121609987 modified "2023-10-01" @default.
• W3121609987 title "Pricing default swaps: Empirical evidence" @default.
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• W3121609987 doi "https://doi.org/10.1016/j.jimonfin.2005.08.009" @default.
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