國家違約強度估計與國家信用違約交換之評價

Translated title of the contribution: Estimation of Sovereign Default Intensities and Sovereign Credit Default Swaps Valuation

Keh-Luh Wang

Research output: Contribution to journalArticlepeer-review

Abstract

We estimate the default intensities of sovereign entities from sovereign bonds by simulated maximum likelihood estimation (SMLE). The estimated results are used to price the sovereign credit default swaps and evaluate the pricing errors with the market data. We find that credit default swaps are more sensitive to market information than their reference obligations. As a result, for probable financial crisis in a country, credit default swaps may overreact the risk and result in higher spreads.
Translated title of the contributionEstimation of Sovereign Default Intensities and Sovereign Credit Default Swaps Valuation
Original languageChinese (Traditional)
Pages (from-to)139-162
Journal財務金融學刊
Volume16
Issue number4
DOIs
StatePublished - 31 Dec 2008

Keywords

  • Sovereign Credit Default Swap
  • Default Intensity
  • CIR Model
  • Simulated Likelihood Approximation

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