CDS Spreads in European Periphery - Some Technical Issues to Consider

Working Paper No. 12/77

Nopic
This paper looks at some technical issues when using CDS data, and if these are incorporated, the analysis or regression results are likely to benefit. The paper endorses the use of stochastic recovery in CDS models when estimating probability of default (PD) and suggests that stochastic recovery may be a better harbinger of distress signals... READ MORE...

Publication date: March 2012
ISBN 9781475502299
$18.00

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Publication date: March 2012

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Publication date: March 2012

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