Research and Insights
Articles by Rajnish Kamat
Exploring Default Swap Spread VariationResearch Report | Jun 1, 2006 |
We assess the effectiveness of the Barra Default Probability (BDP) model in explaining the cross-sectional variation of Credit Default Spreads. In order to establish the usefulness of the BDP model in forecasting real-world defaults, we test it against historical default experience. We find that the model shows good default discriminatory power relative to agency ratings.