Explaining Credit Default Swap Spreads With Equity Volatility And Jump Risks Of Individual Firms
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Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms
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This paper attempts to explain the credit default swap (CDS) premium, using a novel approach to identify the volatility and jump risks of individual firms from
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Prices of equity index put options contain information on the price of systematic downward jump risk. We use a structural jump-diffusion firm value model to ass