An Empirical Investigation of CDS Spreads Using a Regime Switching Default Risk Model

• المؤلف الرئيسي: Milidonis, Andreas
• مؤلفون آخرون: Nanyang Business School
• التنسيق: مقال
• اللغة: English
• منشور في: 2016
• الموضوعات: Default Risk; Regime Switching
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/82331; http://hdl.handle.net/10220/41179
• المؤسسة: Nanyang Technological University

Default risk in equity returns can be measured by structural models of default. In this paper we propose a credit warning signal (CWS) based on the Merton default risk (MDR) model and a Regime-switching default risk (RSDR) model. The RSDR model is a generalization of the MDR model, comprises regime-...