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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