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- W3122079329 endingPage "1672" @default.
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- W3122079329 abstract "Abstract We explore the implications of ambiguity for the pricing of credit default swaps (CDSs). A model of heterogeneous investors with independent preferences for ambiguity and risk shows that, because CDS contracts are assets in zero net supply, the net credit risk exposure of the marginal investor determines the sign of the impact of ambiguity on CDS spreads. We find that ambiguity has an economically significant negative impact on CDS spreads, on average, suggesting that the marginal investor is a net buyer of credit protection. A 1-standard-deviation increase in ambiguity is estimated to decrease CDS spreads by approximately 6%. (JEL C65, D81, D83, G13, G22) Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online." @default.
- W3122079329 created "2021-02-01" @default.
- W3122079329 creator A5004552701 @default.
- W3122079329 creator A5015724442 @default.
- W3122079329 date "2019-07-29" @default.
- W3122079329 modified "2023-10-14" @default.
- W3122079329 title "Ambiguity, Volatility, and Credit Risk" @default.
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- W3122079329 doi "https://doi.org/10.1093/rfs/hhz082" @default.
- W3122079329 hasPublicationYear "2019" @default.
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