A framework for the separation of PD and LGD of CDS using stock options
Summary I propose a framework to separate the probability of default (PD) and loss given default (LGD) of credit default swap (CDS). While the no arbitrage CDS spread is determined given PD and LGD, the separation of PD and LGD is impossible solely with CDS spread. Thus I develop a joint estimation...
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University of Essex
2012
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.573072 |