|
|
|
|
||||
|
||||
Measuring Default Risk Premia from Default Swap Rates and EDFsAntje BerndtCarnegie Mellon University - Tepper School of Business Rohan DouglasCornell University Darrell DuffieStanford University - Graduate School of Business Mark Fergusonaffiliation not provided to SSRN David SchranzCornell University BIS Working Paper No. 173 EFA 2004 Maastricht Meetings Paper No. 5121 Abstract: This paper estimates recent default risk premia for U.S. corporate debt, based on a close relationship between default probabilities, as estimated by Moody's KMV EDFs, and default swap (CDS) market rates. The default-swap data, obtained through CIBC from 22 banks and specialty dealers, allow us to establish a strong link between actual and risk-neutral default probabilities for the 69 firms in the three sectors that we analyze: broadcasting and entertainment, healthcare, and oil and gas. We find dramatic variation over time in risk premia, from peaks in the third quarter of 2002, dropping by roughly 50% to late 2003.
Number of Pages in PDF File: 56 working papers seriesDate posted: June 23, 2004Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo8 in 0.422 seconds
