Measures of Default Risk: Comparing CDS, Bonds and Realized Volatility
Measures of Default Risk: Comparing CDS, Bonds and Realized Volatility | |
Themabeschreibung
- compute realized volatility of equity and estimate asset swaps of bonds
- explain differences in three datasets: liquidity, political and economic factors, country-specific risk
- deduce conclusions with respect to information content in the three datasets
- Empirical study: data available for download from LOBSTER and Bloomberg
- Economic, Statistical techniques used: (Two-Scale) Realized Variance, Nelson-Siegel estimation, factor models