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Good and bad credit contagion: Evidence from credit default swaps

✍ Scribed by Philippe Jorion; Gaiyan Zhang

Book ID
113710947
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
236 KB
Volume
84
Category
Article
ISSN
0304-405X

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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