Leopold Sögner from the Vienna University of Technology is giving a VGSF research seminar on "Jumps and Recovery Rates Inferred from Corporate CDS Premia" on FRIDAY, Jan. 12th, from 15:30 to 17:00 at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). Please find the paper's abstract below.

Best, Michael Halling

ABSTRACT We provide a thorough investigation of the US corporate credit default swap (CDS) market. We take a full parametric approach with an observable, multi-factor, affine reduced-form model that accommodates jumps in the riskless, as well as default-risky discount rates. Our empirical results reveal that a multifactor formulation is imperative for fitting, both, the time-series and in particular the cross-section of CDS premia. Model implied loss given default (LGD) is well identified; it appears to be positively related to a firm's credit quality. Incorporation of jumps significantly improves the model's capability to reproduce the time-series behavior of CDS premia.