Search Results - subject:"Default probabilities"

The 2025 U.S. debt limit through the lens of financial markets

Benzoni, Luca; Wernick, Marisa - 2025

We examine the 2025 U.S. debt limit episode through the lens of financial markets. First, we document an increase in trading activity in the U.S. sovereign CDS market, and we infer a probability of default from CDS premiums. We find that default risk reached 1% by the November 6 Presidential...

Persistent link: https://www.econbiz.de/10015448173

The 2025 U.S. debt limit through the lens of financial markets

Benzoni, Luca; Wernick, Marisa - 2025 - This draft: May 27, 2025

Persistent link: https://www.econbiz.de/10015407927

A credit spread decomposition : a resolution of the credit spread puzzle

Jarrow, Robert A. - In: The Quarterly Journal of Finance : QJF 14 (2024) 4, pp. 1-14

Persistent link: https://www.econbiz.de/10015399494

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023

As the debt ceiling episode unfolds, we highlight a sharp increase in activity across the U.S. credit default swaps (CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a significant increase in U.S. CDS trading activity and...

Persistent link: https://www.econbiz.de/10014480354

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023 - Revised: May 17, 2023

Persistent link: https://www.econbiz.de/10014249852

Empirically Effective Government and Corporate Bond Pricing Models : Yield Curves and Default Curves

Kariya, Takeaki; Yamamura, Yoshiro - 2025

default probabilities (TSDP), which prices credit default swap (CDS). And in view of data science, the empirical effectiveness … and USGB Pricing Models -- Empirical Effectiveness of K0-Yield Curve -- KCB Model and Term Structure of Default … Probabilities (TSDP) -- Credit Risk Analyses on Japanese CBs and Default Curves -- Credit Risk Analyses on CB Prices in the US …

Persistent link: https://www.econbiz.de/10015408965