G-2006-28
Empirical Study of Dependence of Credit Default Data and Equity Prices
Debbie J. Dupuis, Nicolas Papageorgiou, Éric Jacquier et Bruno Rémillard
We investigate the common practice of estimating the dependence structure between CDS prices on multi-name credit instruments by the dependence structure of the equity prices of the firms involved. We find convincing evidence that the practice is inappropriate for high-yield instruments and that it may even be flawed for instruments containing only firms within a sector.
Paru en avril 2006 , 20 pages