Fundamentals, real-time uncertainty and CDS index spreads (2023)
Journal Article
Audzeyeva, A., & Wang, X. (2023). Fundamentals, real-time uncertainty and CDS index spreads. Review of Quantitative Finance and Accounting, 61(1), 1-33. https://doi.org/10.1007/s11156-023-01127-6

The high level of economic uncertainty linked to the pace of the recovery process can persist after a crisis and has implications for the market pricing of firms’ credit risk reflected in credit default swap (CDS) spreads. This paper examines the rol... Read More about Fundamentals, real-time uncertainty and CDS index spreads.