Specht, Leon - In: Junior Management Science (JUMS) 8 (2023) 1, pp. 1-42
I analyze the dynamics of European credit default swap spreads by estimating CDS spreads via an extension of the … structural credit risk models by Black and Cox (1976) as well as Leland (1994), the so called CreditGrades model proposed by … of disconnectedness between credit and equity markets, model inherent misspecifications as well as possible market …