Italian paper evaluates stressed CDS pricing

bank-of-italy

A working paper, published by the Bank of Italy on October 11, evaluates alternative models for credit default swap (CDS) pricing.

The author, Michele Leonardo Bianchi, explores pricing performance and parameter stability of CDS pricing models during the "highly volatile" period between June 2008 and December 2010, a time when all models exhibited large pricing errors.

The paper evaluates models using two estimation methods: their performance under a static perspective as well as via analysis of

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