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How Important is a Non-Default Factor for CDS Valuation?

  • Published:2014-11-10 Issue:11 Volume:35 Page:1088-1101
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:

Author:

Guo Biao1,Han Qian2,Lee Jaeram3,Ryu Doojin4

Affiliation:

1. Biao Guo is at the School of Finance & China Financial Policy Research Center; Renmin University of China; Beijing China

2. Qian Han is at the Wang Yanan Institute for Studies in Economics (WISE); Xiamen University; Xiamen China

3. Jaeram is at the College of Business; KAIST; Seoul Republic of Korea

4. Doojin Ryu is at the College of Economics; Sungkyunkwan University (SKKU); Seoul Republic of Korea

Funder

Fujian Soft Science Fund

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference37 articles.

1. Nonparametric option pricing under shape restrictions;Aït-Sahalia;Journal of Econometrics,2003

2. Reduced form vs. structural models of credit risk: A case study of three models;Arora;Journal of Investment Management,2005

3. Has the CDS market lowered the cost of corporate debt;Ashcraft;Journal of Monetary Economics,2009

4. Valuing corporate securities: Some effects of bond indentures provisions;Black;Journal of Finance,1976

5. Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market;Bongaerts;Journal of Finance,2011

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