Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk?
| Year of publication: |
2002-12-01
|
|---|---|
| Authors: | Aunon-Nerin, Daniel ; Cossin, Didier ; Hricko, Tomas ; Huang, Zhijiang |
| Publisher: |
International Center for Financial Asset Management and Engineering (FAME) <Genf> |
| Subject: | Ausfallrisiko | Swap | Kreditrisiko | Faktoranalyse | Swapsatz | swap rate |
- 1. Introduction
- 2. Literature Review
- 3. The factor influencing credit risk
- 4. The credit default swap data and the use of transaction data
- 5. The credit default swap market
- 6. The determinants of credit risk: variables we consider and our sources
- 7. Estimations and results
- 8. A reduced-form Model Implementation and consequences
- The data
- 9. Results
- 10. Conclusions
Persistent link: https://www.econbiz.de/10005843402