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標題: An empirical analysis of the CDX index and its tranches
作者: Fabozzi, F.J.;Wang, Y.C.;Yeh, S.K.;Chen, R.R.
葉仕國
關鍵字: risk;debt
日期: 2009
Issue Date: 2012-12-14 09:48:30 (UTC+8)
關連: Applied Economics Letters, Volume 16, Issue 14, Page(s) 1425-1431.
摘要: The desire of market participants to go long or short a portfolio of corporate credits led to the introduction of various types of indices of credit default swaps. In this article, we empirically investigate the relationships between the spreads of the North America CDX index and its tranches and their theoretical determinants. We find (1) support for a number of results predicted by the structural models used in credit risk modelling, such as the Merton model and (2) that CDX spreads are highly responsive to microstructure variables but not to macroeconomic variables.
Relation: Applied Economics Letters
Appears in Collections:[依教師分類] 葉仕國
[依資料類型分類] 期刊論文

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