Do Rare Events Explain CDX Tranche Spreads?
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We investigate whether a model with a time-varying probability of economic disaster can explain the pricing of collateralized debt obligations, both prior to and during the 2008-2009 financial crisis. Namely, we examine the pricing of tranches on the CDX, an index of credit default swaps on large
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美国国家经济研究局创建时间：
2016-10-01
