RT Journal Article
SR Electronic
T1 An Empirical Study of Credit Default Swaps
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 28
OP 38
DO 10.3905/jfi.2003.319344
VO 13
IS 1
A1 Frank S. Skinner
A1 Antonio Díaz
YR 2003
UL https://pm-research.com/content/13/1/28.abstract
AB This is an examination of the pricing of credit default swaps that traded around the dates of the Asian currency crisis using two different credit risk models. The cost of default insurance is generally found to be lower than the expected value of payments in the event of default. According to both models, the cost of default insurance is greater than the expected value of payments for credit default swaps written on entities domiciled in countries subject to the Asian currency crisis, a finding attributable to moral hazard.