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Valuation of credit default swaps and swaptions

✍ Scribed by Farshid Jamshidian


Book ID
106235616
Publisher
Springer-Verlag
Year
2004
Tongue
English
Weight
341 KB
Volume
8
Category
Article
ISSN
0949-2984

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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