Explaining credit default swap premia
Journal of Futures Markets, 2004, vol. 24, issue 1, 71-92
This article proposes a simple approach for explaining credit default swap premia. Specifically, it investigates the effects of historical and option‐implied equity volatility on credit default swap premia, thus extending an idea proposed by Campbell and Taksler ( in press ) in the context of corporate bond yields. Using panel data of credit default swaps on 120 international firms from 1999 to mid‐2002, it becomes evident that option‐implied volatility is a more important factor in explaining variation in credit default swap premia than historical volatility. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:71–92, 2004
References: Add references at CitEc
Citations: View citations in EconPapers (24) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:24:y:2004:i:1:p:71-92
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314
Access Statistics for this article
Journal of Futures Markets is currently edited by Robert I. Webb
More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().