English, Article edition: Credit default swap rates and stock prices Marco Realdon

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Bookmark: http://trove.nla.gov.au/version/50559
Physical Description
  • article
Language
  • English

Edition details

Title
  • Credit default swap rates and stock prices
Author
  • Marco Realdon
Physical Description
  • article
Notes
  • This article presents, estimates and tests a credit default swap (CDS) pricing model, which links a firm's default intensity to its observed stock price. The pricing model requires finite difference numerical solutions. In spite of this quasi-maximum likelihood parameter estimation is still feasible. Evidence from a sample of large corporations confirms the validity of the link between the firm's stock price and default intensity.
  • RePEc:taf:apfelt:v:4:y:2008:i:4:p:241-248
Language
  • English
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