The relationship between distance-to-default and CDS spreads as measures of default risk for European banks
CDS spreads are often seen as the ’leading’ market based, default risk measure. There is no popular alternative to CDS spreads except perhaps for the distance-to-default (D2D) measure based on Merton (1974), which comes very close to it. In this paper, we investigate the correlation and short-ter...
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| Format: | Article |
| Language: | English |
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University of Warsaw
2016-04-01
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| Series: | Journal of Banking and Financial Economics |
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| Online Access: | https://jbfe.wz.uw.edu.pl/resources/html/article/details?id=198301 |