Measuring Default Risk Premia from Default Swap Rates and EDFs

Measuring Default Risk Premia from Default Swap Rates and EDFs (2004)

by Antje Berndt , Rohan Douglas , Darrell Due , Darrell Duffie , Mark Ferguson , David Schranz

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Datum	Value	Source
TITLE	Measuring Default Risk Premia from Default Swap Rates and EDFs	user correction - Legacy Corrections
AUTHOR NAME	Antje Berndt	user correction - Legacy Corrections
AUTHOR NAME	Rohan Douglas	user correction - Legacy Corrections
AUTHOR NAME	Darrell Due	user correction - Legacy Corrections
AUTHOR NAME	Darrell Duffie	user correction - Legacy Corrections
AUTHOR NAME	Mark Ferguson	user correction - Legacy Corrections
AUTHOR NAME	David Schranz	user correction - Legacy Corrections
ABSTRACT	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 thrid quarter of 2002, dropping by roughly 50% to late 2003.	user correction - Legacy Corrections
YEAR	2004	user correction - Legacy Corrections
PAGES	173	INFERENCE
CITATIONS	34 found	ParsCit 1.0