An Empirical Investigation of CDS Spreads Using a Regime Switching Default Risk Model
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-...
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| 格式: | Article |
| 語言: | English |
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2016
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| 在線閱讀: | https://hdl.handle.net/10356/82331 http://hdl.handle.net/10220/41179 |
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