Are Credit Default Swaps Associated with Higher Corporate Defaults

@inproceedings{Peristiani2011AreCD,
  title={Are Credit Default Swaps Associated with Higher Corporate Defaults},
  author={Stavros Costa Peristiani and Vanessa Savino},
  year={2011}
}
Are companies with traded credit default swap (CDS) positions on their debt more likely to default? Using a proportional hazard model of bankruptcy and Merton’s contingent claims approach, we estimate the probability of default for U.S. nonfinancial firms. Our analysis does not generally find a persistent link between CDS and default over the entire period 2001-08, but does reveal a higher probability of default for firms with CDS over the last few years of that period. Further, we find that… CONTINUE READING

Similar Papers

References

Publications referenced by this paper.
SHOWING 1-10 OF 26 REFERENCES