How Important is a Non-Default Factor for CDS Valuation?
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Guo, Biao | - |
dc.contributor.author | Han, Qian | - |
dc.contributor.author | Lee, Jaeram | - |
dc.contributor.author | Ryu, Doojin | - |
dc.date.available | 2021-03-09T07:40:13Z | - |
dc.date.created | 2021-03-09 | - |
dc.date.issued | 2015-11 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/80350 | - |
dc.description.abstract | Unlike previous research based on structural or reduced-form models, we investigate the importance of a non-default factor for credit default swap (CDS) valuation by conducting non-parametric local linear regression analyses using corporate CDS data from 2002 to 2011. We find that a model with an additional non-default factor significantly outperforms a model with only a default factor, both in-sample and out-of-sample, particularly for low credit rating CDS spreads. This improvement is robust to both credit rating and maturity. Our findings support the idea that non-default risk is priced in CDS spreads and help explain CDS valuation. (c) 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:1088-1101, 2015 | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | WILEY-BLACKWELL | - |
dc.relation.isPartOf | JOURNAL OF FUTURES MARKETS | - |
dc.title | How Important is a Non-Default Factor for CDS Valuation? | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000362448000006 | - |
dc.identifier.doi | 10.1002/fut.21699 | - |
dc.identifier.bibliographicCitation | JOURNAL OF FUTURES MARKETS, v.35, no.11, pp.1088 - 1101 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.scopusid | 2-s2.0-84943747126 | - |
dc.citation.endPage | 1101 | - |
dc.citation.startPage | 1088 | - |
dc.citation.title | JOURNAL OF FUTURES MARKETS | - |
dc.citation.volume | 35 | - |
dc.citation.number | 11 | - |
dc.contributor.affiliatedAuthor | Lee, Jaeram | - |
dc.type.docType | Article | - |
dc.subject.keywordPlus | FINANCIAL CRISIS | - |
dc.subject.keywordPlus | CREDIT RISK | - |
dc.subject.keywordPlus | SWAP MARKET | - |
dc.subject.keywordPlus | DERIVATIVES | - |
dc.subject.keywordPlus | LIQUIDITY | - |
dc.subject.keywordPlus | SPREADS | - |
dc.subject.keywordPlus | DETERMINANTS | - |
dc.subject.keywordPlus | SECURITIES | - |
dc.subject.keywordPlus | REGRESSION | - |
dc.subject.keywordPlus | OPTIONS | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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