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The Direct Relevance of Accounting Information for Credit Default Swap Pricing

✍ Scribed by George Batta

Book ID
111106096
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
598 KB
Volume
38
Category
Article
ISSN
0306-686X

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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