All your CDS models are wrong

By Robert Jarrow

It is a common belief that it is simple to extract implied default probabilities from CDS spreads. But, argues Robert Jarrow, the conventional methods are drastically flawed

Subscriber-only article

This article is available only to Creditflux subscribers and free trial users within 30 days of publication.

Already a subscriber? Not logged in? Click here to login.

If you have not already done so,
you may request a FREE TRIAL by clicking here

This trial will give you:
  • 4-weeks' free online access to our
    most recent subscriber-only articles
  • Daily breaking news alert sent by email
  • A print copy of Creditflux

If you currently have a free trial, you will see this message when you try to view articles older than 30 days.

Comment by: Anonymous. Posted 5 years ago [2012-11-20 02:44:12]

Good, pointed article. Professor Jarrow highlights the error that many experts still make of confusing the risk-neutral PD with the actual PD.