An Empirical Comparison of Default Swap Pricing Models

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An Empirical Comparison of Default Swap Pricing Models

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Patrick Houweling () (Erasmus University Rotterdam)
Ton Vorst () (VU University Amsterdam)

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Abstract

In this paper we compare market prices of credit default swaps with model prices. We show

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Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 02-004/2.

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Date of creation: 22 Jan 2002
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Handle: RePEc:dgr:uvatin:20020004

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Paper
- Houweling, P. & Vorst, A.C.F., 2002. "An Empirical Comparison of Default Swap Pricing Models," Research Paper ERS-2002-23-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
- Patrick Houweling & Ton Vorst, 2001. "An Empirical Comparison of Default Swap Pricing Models," Finance 0112003, EconWPA. [Downloadable!]
- P. Houweling & A.C.F. Vorst, 2001. "An empirical comparison of default swap pricing models," Econometric Institute Report 251, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

This paper has been announced in the following NEP Reports:

NEP-ALL-2002-06-13 (All new papers)
NEP-FIN-2002-06-13 (Finance)
NEP-FMK-2002-06-13 (Financial Markets)

Cited by:
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Frank X. Zhang, 2003. "What did the credit market expect of Argentina default? Evidence from default swap data," Finance and Economics Discussion Series 2003-25, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer, vol. 26(2), pages 161-191, October. [Downloadable!] (restricted)
Clemens J.M. Kool, 2007. "Financial Stability in European Banking: The Role of Common Factors," Money Macro and Finance (MMF) Research Group Conference 2006 101, Money Macro and Finance Research Group. [Downloadable!]
Abel Elizalde, 2006. "Credit Risk Models I: Default Correlation In Intensity Models," Working Papers wp2006_0605, CEMFI. [Downloadable!]
Norden, Lars & Weber, Martin, 2004. "Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements," CEPR Discussion Papers 4250, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Clemens Kool, 2006. "Financial Stability in European Banking: The Role of Common Factors," Open Economies Review, Springer, vol. 17(4), pages 525-540, December. [Downloadable!] (restricted)
Mehari Mekonnen Akalu, 2002. "Measuring and Ranking Value Drivers," Tinbergen Institute Discussion Papers 02-043/2, Tinbergen Institute. [Downloadable!]
Clemens Kool, 2006. "Financial Stability in European Banking: The Role of Common Factors," Working Papers 06-13, Utrecht School of Economics. [Downloadable!]
Lars Norden & Martin Weber, 2004. "The comovement of credit default swap, bond and stock markets: an empirical analysis," CFS Working Paper Series 2004/20, Center for Financial Studies. [Downloadable!]
Hoi Wong & Tsz Wong, 2007. "Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 229-253, September. [Downloadable!] (restricted)
Roberto Blanco & Simon Brennan & Ian W Marsh, . "An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps," Bank of England working papers 211, Bank of England. [Downloadable!]

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