Browsing by Author "Poon, Ser-Huan"

Now showing items 1-2 of 2

Rating Based CDS Curves

Kolokolova, Olga; Lin, Ming-Tsung; Poon, Ser-Huan (Working Paper)

In this paper, we explore the extent to which term structure of individual CDS spreads can be explained by the firm’s rating. Using the Nelson-Siegel model, we construct, for each day, CDS curves from a cross section of ...
Systematic and Firm-specific Risks of CDS Spreads: Credit and Liquidity under Scrutiny

Kolokolova, Olga; Lin, Ming-Tsung; Poon, Ser-Huan (Working Paper)

Using a sample of 356 U.S. non-financial firms from 2002 to 2011, we derive endogenous systematic credit risk and Credit Default Swap (CDS) illiquidity factors, and show that they dominate firm-specific and exogenous ...