C.D.S.-Implied Risk of U.S. Delinquency : Implications for the U.S. Debt Ceiling

In this paper, we use a structural credit risk model developed by Geske (1977) and generalized by Chen et al. (2014) to assess the delinquency risk of U.S. Treasury debt implied by U.S. sovereign CDS spreads. We also use the fitted structural model to determine the implied debt ceiling for the Federal Government

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Year of publication:	[2021]
Authors:	Chen, Ren-Raw ; Finnerty, John D. ; Kamdem, Bruno
Publisher:	[S.l.] : SSRN
Subject:	USA \| United States \| Risiko \| Risk \| Öffentliche Schulden \| Public debt

Extent:	1 Online-Ressource (1 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: The Journal of Fixed Income Summer 2021, 31 (1) 6-26 In: DOI: https://doi.org/10.3905/jfi.2021.1.114 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 30, 2021 erstellt
Classification:	G12 - Asset Pricing ; G17 - Financial Forecasting ; G28 - Government Policy and Regulation ; G32 - Financing Policy; Capital and Ownership Structure
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013211319