An empirical analysis of equity default swaps (II): multivariate insights
Equity default swaps (EDSs) have attracted much attention recently because of their similarities to credit default swaps on the one hand and American-style digital puts on the other. Particular interest has focused on collateralised debt obligations referencing a portfolio of EDSs, which not only requires the univariate assessment of the risks inherent in EDSs, but also the analysis of dependencies between EDSs (and other asset classes). Here, Norbert Jobst and Arnaud de Servigny specifically address correlation or dependency aspects of EDSs, by applying techniques developed for estimating default correlation
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