摘要(英) |
This paper presents a pricing framework of credit default swap (CDS), where the default intensity is driven by Cox-Ingersoll-Ross (CIR) model.
CDS spreads from four European countries,such as Greece, Portugal, Spain, and Italy are considered in the empirical analysis.
The paper investigates how the parameters effects CDS spreads, and show the adequacy of the CIR model for most cases.
This paper finally summarizes situations where CIR model doesn’’t fit the market observations.
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