{"title":"信用违约互换利率和股票价格","authors":"Marco Realdon","doi":"10.1080/17446540701720493","DOIUrl":null,"url":null,"abstract":"This article presents, estimates and tests a credit default swap (CDS) pricing model, which links a firm's default intensity to its observed stock price. The pricing model requires finite difference numerical solutions. In spite of this quasi-maximum likelihood parameter estimation is still feasible. Evidence from a sample of large corporations confirms the validity of the link between the firm's stock price and default intensity.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"239 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"13","resultStr":"{\"title\":\"Credit default swap rates and stock prices\",\"authors\":\"Marco Realdon\",\"doi\":\"10.1080/17446540701720493\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This article presents, estimates and tests a credit default swap (CDS) pricing model, which links a firm's default intensity to its observed stock price. The pricing model requires finite difference numerical solutions. In spite of this quasi-maximum likelihood parameter estimation is still feasible. Evidence from a sample of large corporations confirms the validity of the link between the firm's stock price and default intensity.\",\"PeriodicalId\":345744,\"journal\":{\"name\":\"Applied Financial Economics Letters\",\"volume\":\"239 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2008-07-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"13\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Applied Financial Economics Letters\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/17446540701720493\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Financial Economics Letters","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/17446540701720493","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
This article presents, estimates and tests a credit default swap (CDS) pricing model, which links a firm's default intensity to its observed stock price. The pricing model requires finite difference numerical solutions. In spite of this quasi-maximum likelihood parameter estimation is still feasible. Evidence from a sample of large corporations confirms the validity of the link between the firm's stock price and default intensity.
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