Find our research on the financial system by keyword, author, content type, JEL code, topic or date of publication.
452
result(s)
Default Dependence: The Equity Default Relationship
Staff Working Paper 2008-1
Stuart Turnbull,
Jun Yang
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
G,
G1,
G12,
G13