Measuring default risk premia from default swap rates and EDFs
By: by Antje Berndt ... [et al.]
Contributors: Berndt, Antje.; Bank for International Settlements. Monetary and Economic Dept.
Series: BIS working papers,; no. 173; BIS working papers (Online) ;; no. 173.
Publisher: Bank for International Settlements
Published: 2005
Place of publication: Basel, Switzerland
Language: eng
Format: Electronic resource
Description: This paper estimates recent default risk premia for U.S. corporate debt, based on a close relationship between default probabilities, as estimated by Moody's KMV EDFs, and default swap (CDS) market rates. The default-swap data, obtained through CIBC from 22 banks and specialty dealers, allow us to establish a strong link between actual and risk-neutral default probabilities for the 69 firms in the three sectors that we analyze: broadcasting and entertainment, healthcare, and oil and gas. We find dramatic variation over time in risk premia, from peaks in the third quarter of 2002, dropping by roughly 50% to late 2003.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file (viewed on Mar. 23, 2005).
"Monetary and Economic Department."
"March 2005."
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.