Measuring Default Risk Premia: 2001–2010∗
نویسندگان
چکیده
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منابع مشابه
Corporate Credit Risk Premia
We measure credit risk premia—prices for bearing corporate default risk in excess of expected default losses—using Markit CDS and Moody’s Analytics EDF data. We find dramatic variation over time in credit risk premia, with peaks in 2002, during the global financial crisis of 2008-09, and in the second half of 2011. Even after normalizing these premia by expected default losses, median credit ri...
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This paper estimates the degree of variation over time in the price for bearing exposure to U.S. corporate default risk during 2000-2004, based on the 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 39 banks and specialty dealers, allow us to establish a strong link between actua...
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by Mordecai Kurz and Maurizio Motolese A very preliminary draft: February 2, 2010 Summary: Why do risk premia vary over time? We examine this problem theoretically and empirically by studying the effect of market belief on risk premia. Individual belief is taken as a fundamental, primitive, state variable. Market belief which is the distribution of individual beliefs is observable, it is centra...
متن کاملLinking Credit Risk Premia to the Equity Premium
We estimate the equity premium using CDS spreads and structural models of default. Our estimates yield equity premia of 6.50% (U.S.), 5.44% (Europe) and 6.21% (Asia) based on 5year CDS spreads from 2003-2007. Due to some conservative assumptions these estimates are upper limits for the equity premium. Using 3-, 7and 10-year CDS maturities yields similar results and o ers an opportunity to estim...
متن کاملCorporate Credit Risk Premia Corporate Credit Risk Premia
We measure credit risk premia—prices for bearing corporate default risk in excess of expected default losses—using Markit CDS and Moody’s Analytics EDF data. We find dramatic variation over time in credit risk premia, with peaks in 2002, during the global financial crisis of 2008-09, and in the second half of 2011. Even after normalizing these premia by expected default losses, median credit ri...
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