Leopold Sögner from the Vienna University of Technology is giving a VGSF
research seminar on "Jumps and Recovery Rates Inferred from Corporate CDS
Premia" on FRIDAY, Jan. 12th, from 15:30 to 17:00 at the WU Wien
(Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Best,
Michael Halling
ABSTRACT
We provide a thorough investigation of the US corporate credit default swap
(CDS) market. We take a full parametric approach with an observable,
multi-factor, affine reduced-form model that accommodates jumps in the
riskless, as well as default-risky discount rates. Our empirical results
reveal that a multifactor formulation is imperative for fitting, both, the
time-series and in particular the cross-section of CDS premia. Model implied
loss given default (LGD) is well identified; it appears to be positively
related to a firm's credit quality. Incorporation of jumps significantly
improves the model's capability to reproduce the time-series behavior of CDS
premia.