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Actuarial Par Spread and Empirical Pricing of CDS by Decomposition

In: GLOBAL CREDIT REVIEW

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  • Jin-Chuan Duan

Abstract

The following sections are included:INTRODUCTIONTERM STRUCTURE OF PHYSICAL PDs AND ACTUARIAL PAR SPREADSA NUMERICAL EXAMPLEEMPIRICAL PRICING OF CDS VIA DECOMPOSITIONACKNOWLEDGMENTNOTESAPPENDIXREFERENCES

Suggested Citation

  • Jin-Chuan Duan, 2014. "Actuarial Par Spread and Empirical Pricing of CDS by Decomposition," World Scientific Book Chapters, in: Risk Management Institute (ed.), GLOBAL CREDIT REVIEW, chapter 3, pages 51-65, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814635486_0003
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    Cited by:

    1. Jérémie Bertrand & Paul-Olivier Klein & Fotios Pasiouras, 2024. "National culture of secrecy and firms’ access to credit," Post-Print hal-04691594, HAL.
    2. Pathan, Shams & Haq, Mamiza & Faff, Robert & Seymour, Trent, 2021. "Institutional investor horizon and bank risk-taking," Journal of Corporate Finance, Elsevier, vol. 66(C).
    3. Anna Naszodi, 2021. "The Single Resolution Fund and the Credit Default Swap: What Is the Coasian Fair Price of Their Insurance Services?," International Journal of Central Banking, International Journal of Central Banking, vol. 17(70), pages 1-36, October.
    4. Ali, Searat & Hussain, Nazim & Iqbal, Jamshed, 2021. "Corporate governance and the insolvency risk of financial institutions," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    5. Dewenter, Kathryn L. & Riddick, Leigh A., 2018. "What's the value of a TBTF guaranty? Evidence from the G-SII designation for insurance companies✰," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 70-85.
    6. Frijns, Bart & Hubers, Frank & Kim, Donghoon & Roh, Tai-Yong & Xu, Yahua, 2022. "National culture and corporate risk-taking around the world," Global Finance Journal, Elsevier, vol. 52(C).
    7. RMI staff article, 2016. "NUS-RMI Credit Research Initiative Technical Report Version: 2016 Update 1," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 49-132.

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