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Measuring default risk premia from default swap rates and EDFs

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Author Info
Antje Berndt (Carnegie Mellon University)
Rohan Douglas (Cornell University)
Darrell Duffie (Stanford Graduate School of Business)
Mark Ferguson
David Schranz (Cornell University)
Abstract

On 9-10 September 2004, the BIS held a workshop on

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Publisher Info
Paper provided by Bank for International Settlements in its series BIS Working Papers with number 173.

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Length: 56 pages
Date of creation: Mar 2005
Date of revision:
Handle: RePEc:bis:biswps:173

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Related research
Keywords: default risk premia; default swap rates; EDFs;

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  1. Antonio Garcia Pascual & Renzo G. Avesani & Jing Li, 2006. "A New Risk Indicator and Stress Testing Tool: A Multifactor Nth-to-Default CDS Basket," IMF Working Papers 06/105, International Monetary Fund. [Downloadable!]
  2. Schmidt, Rafael & Schmieder, Christian, 2007. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies 2007,07, Deutsche Bundesbank, Research Centre. [Downloadable!]
  3. John Y. Campbell & Jens Hilscher & Jan Szilagyi, 2006. "In Search of Distress Risk," NBER Working Papers 12362, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Byström, Hans, 2006. "The Microfinance Collateralized Debt Obligation: a Modern Robin Hood?," Working Papers 2006:14, Lund University, Department of Economics, revised 21 Aug 2006.
    Other versions:
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