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Empirical Study of Dependence of Credit Default Data and Equity Prices
Company: HEC Montreal
Company Url: Click here to open
Year Of Publication: 2006
Month Of Publication: April
Pages: 16
Download Count: 603
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 4-26-2006
Publisher: Administrator
Summary
We investigate the common practice of estimating the dependence structure between CDS prices on multi-name credit instruments by the dependence structure of the equity prices of the firms involved. We find convincing evidence that the practice is inappropriate for high-yield instruments and that it may even be flawed for instruments containing only firms within a sector.
Author(s)
Dupuis, Debbie J. Sign in to follow this author
Papageorgiou, Nicolas Sign in to follow this author
Remillard, Bruno Sign in to follow this author
Jacquier, Eric Sign in to follow this author
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