An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model

DOI10.1080/10920277.2016.1180996MaRDI QIDQ5379186zbMATH OpenOpenAlexFDO

Authors Andreas Milidonis

Publication date 28 May 2019

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10220/41179

zbMATH Keywords

credit default swapregime-switching default risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

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• Pricing credit derivatives under a correlated regime-switching hazard processes model
• Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model

Cites work

• A Markov model for switching regressions
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Regime-Switching Model of Long-Term Stock Returns
• Analysis of time series subject to changes in regime
• Autoregressive conditional heteroskedasticity and changes in regime
• Estimation of distress costs associated with downgrades using regime-switching models
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Information and option pricings
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• On Cox processes and credit risky securities
• Option pricing and Esscher transform under regime switching
• Pricing exotic options under regime switching
• Pricing the risks of default
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
• The pricing of credit default swaps under a Markov-modulated Merton's structural model
• The pricing of options and corporate liabilities

Cited in

(9)

• The determinants of CDS spreads: evidence from the model space
• Credit default swaps and risk-shifting
• Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
• CDS returns
• Exploring mispricing in the term structure of CDS spreads
• Default risk and equity returns: evidence from the Taiwan equities market
• Specification analysis of structural credit risk models
• Determinants of Euro-area bank CDS spreads
• Basket CDS pricing with default intensities using a regime-switching shot-noise model

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