CDS Spreads in European Periphery : Some Technical Issues to Consider /
This paper looks at some technical issues when using CDS data, and if these are incorporated, the analysis or regression results are likely to benefit. The paper endorses the use of stochastic recovery in CDS models when estimating probability of default (PD) and suggests that stochastic recovery ma...
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| Định dạng: | Tạp chí |
| Ngôn ngữ: | English |
| Được phát hành: |
Washington, D.C. :
International Monetary Fund,
2012.
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| Loạt: | IMF Working Papers; Working Paper ;
No. 2012/077 |
| Truy cập trực tuyến: | Full text available on IMF |