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Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms

This paper attempts to explain the credit default swap (CDS) premium, using a novel approach to identify the volatility and jump risks of individual firms from high-frequency equity prices. Our empirical results suggest that the volatility risk alone predicts 48% of the variation in CDS spread... Full description

1st Person: Zhang, Benjamin Yibin
Additional Persons: Zhou, Hao; Zhu, Haibin
Source: in The Review of Financial Studies Vol. 22, No. 12 (2009), p. 5099-5131
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Type of Publication: Article
Language: English
Published: 2009
Keywords: G12
G13
C14
Online: Volltext
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