Probabilities of Default and the Market Price of Risk in a Distressed Economy

Probabilities of Default and the Market Price of Risk in a Distressed Economy
We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for simplicity, on a one-factor asset pricing model. The market price of risk under stress (the expectation of the market price of risk, conditional on it READ MORE...

Publication date: April 2011
ISBN 9781455227044
$18.00

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