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An empirical analysis of credit default swaps

✍ Scribed by Frank S. Skinner; Timothy G. Townend


Book ID
117714903
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
204 KB
Volume
11
Category
Article
ISSN
1057-5219

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## Abstract We investigate the common practice of estimating the dependence structure between credit default swap prices on multi‐name credit instruments from the dependence structure of the equity returns of the underlying firms. We find convincing evidence that the practice is inappropriate for h