Azizpour, Shahriar; Giesecke, Kay; Kim, Baeho - In: Journal of Economic Dynamics and Control 35 (2011) 8, pp. 1340-1357
Using data on corporate default experience in the U.S. and market rates of CDX index and tranche swaps of various maturities, we estimate reduced-form models of correlated default timing in the CDX High Yield and Investment Grade portfolios under actual and risk-neutral probabilities. The...