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

• Main Author: Milidonis, Andreas
• Other Authors: Nanyang Business School
• Format: Article
• Language: English
• Published: 2016
• Subjects: Default Risk; Regime Switching
• Online Access: https://hdl.handle.net/10356/82331; http://hdl.handle.net/10220/41179
• Institution: 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-...