Tepper School of Business 7-2008 Measuring Default Risk Premia from Default Swap Rates and EDFs

By Antje Berndt, R. Douglas, Darrell Duffie, Mark Ferguson, D. Schranz. 2007

429 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/2f2df942428f67081a285bab65140f1afec84a77

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Péter Kondor
2. Hongjun Yan
3. Haibin Zhu
4. Jens Hilscher
5. Kay Giesecke
6. D. Tang
7. Jun Liu
8. J. Szilágyi

In Finance

1. D. Tang
2. Hao Zhou
3. Haibin Zhu
4. Hongjun Yan
5. Andrew Ang
6. Antje Berndt
7. Andrew J. Patton
8. Kris Jacobs

Citations in the corpus

• Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe (2013, background): “As Berndt et al. (2008) and others have shown, variation in the credit risk premium is an important driver of changes in CDS spreads.”
• The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2008, positive): “Berndt et al (2005) estimate an average premium of a similar magnitude, and moreover find that the risk premium varies greatly over time.”
• Individual Stock-Option Prices and Credit Spreads (2008, positive): “Berndt et al. (2005) use the VIX, which is highly correlated with implied index volatility, to explain credit default swap spreads.”
• Liquidity and Credit Default Swap Spreads (2007, positive): “Berndt et al (2005) find that default probabilities, measured by Moody’s KMV’s Expected Default 6See, e.g., Duffie (1999) and Hull and White (2000).”
• Intermediary Asset Pricing (2013, neutral): “The risky asset market clears: αt (wt + α h t (1 − λ)w t ) Pt = 1; (11)”
• Economic Catastrophe Bonds (2009, methodology): “The fundamental asset pricing insight of Arrow (1964) and Debreu (1959) is that an asset’s value is determined by both its distribution of payo¤s across economic states and state prices. Securities that fail to deliver their promised payments in the “worst” economic states will have low values, beca”
• Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010, neutral): “…Mithal, and Neis (2005) show that the majority of the corporate spreads are due to default risk; Driessen (2005) and Berndt et al. (2008) estimate large jump-to-default risk premia in corporate bonds and default swaps; Berndt et al. (2008) also find dramatic time variation in credit risk premia.”
• The Limits of Model-based Regulation (2014, neutral): “, Berndt et al. (2008) document that credit risk is considerably higher during recessions.”