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Pricing default swaps: Empirical evidence

✍ Scribed by Patrick Houweling; Ton Vorst


Book ID
116658703
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
426 KB
Volume
24
Category
Article
ISSN
0261-5606

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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