A simple nonparametric approach to pricing credit default swaps

This study introduces a nonparametric approach to pricing credit default swaps (CDSs) and other single-name credit-risky securities. This method is notable for its simplicity, estimation speed, and flexibility. That is, it relies exclusively on closed-form solutions, which provide instantaneous resu...

Descripción completa

Detalles Bibliográficos
Autor: Forte, Santiago
Tipo de recurso: artículo
Fecha de publicación:2025
País:España
Institución:Universitat Ramon Llull (URL)
Repositorio:DAU Arxiu Digital de la Universitat Ramon Llull
OAI Identifier:oai:dau.url.edu:20.500.14342/6011
Acceso en línea:https://hdl.handle.net/20.500.14342/6011
https://doi.org/10.1016/j.jedc.2025.105198
Access Level:acceso abierto
Palabra clave:Credit risk pricing
No-arbitrage conditions
Bootstrapping
CDS contracts
id ES_ee95faa5ce7790cb8f00a6f1f1732d6d
oai_identifier_str oai:dau.url.edu:20.500.14342/6011
network_acronym_str ES
network_name_str España
repository_id_str
spelling A simple nonparametric approach to pricing credit default swapsForte, SantiagoCredit risk pricingNo-arbitrage conditionsBootstrappingCDS contractsThis study introduces a nonparametric approach to pricing credit default swaps (CDSs) and other single-name credit-risky securities. This method is notable for its simplicity, estimation speed, and flexibility. That is, it relies exclusively on closed-form solutions, which provide instantaneous results, and allows the user to reproduce any term structure of CDS spreads. I empirically assess its pricing performance by comparing it with an otherwise equivalent semiparametric (piecewise constant default probability) model that requires a series of root-search algorithms and represents the current market convention for marking-to-market CDS contracts. This analysis demonstrates that the new method also implies a reduction in mean percentage absolute pricing errors.info:eu-repo/semantics/publishedVersionElsevier B.V.Universitat Ramon Llull. Esade202620262025info:eu-repo/semantics/article32 p.application/pdfapplication/pdfhttps://hdl.handle.net/20.500.14342/6011https://doi.org/10.1016/j.jedc.2025.105198reponame:DAU Arxiu Digital de la Universitat Ramon Llullinstname:Universitat Ramon Llull (URL)Inglés(Paper version) A Simple Nonparametric Approach to Pricing Credit Default SwapsJournal of Economic Dynamics and Control, Vol. 180, 105198https://dx.doi.org/10.2139/ssrn.5432378Attribution 4.0 International© L'autor/ahttp://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessoai:dau.url.edu:20.500.14342/60112026-06-21T06:40:37Z
dc.title.none.fl_str_mv A simple nonparametric approach to pricing credit default swaps
title A simple nonparametric approach to pricing credit default swaps
spellingShingle A simple nonparametric approach to pricing credit default swaps
Forte, Santiago
Credit risk pricing
No-arbitrage conditions
Bootstrapping
CDS contracts
title_short A simple nonparametric approach to pricing credit default swaps
title_full A simple nonparametric approach to pricing credit default swaps
title_fullStr A simple nonparametric approach to pricing credit default swaps
title_full_unstemmed A simple nonparametric approach to pricing credit default swaps
title_sort A simple nonparametric approach to pricing credit default swaps
dc.creator.none.fl_str_mv Forte, Santiago
author Forte, Santiago
author_facet Forte, Santiago
author_role author
dc.contributor.none.fl_str_mv Universitat Ramon Llull. Esade
dc.subject.none.fl_str_mv Credit risk pricing
No-arbitrage conditions
Bootstrapping
CDS contracts
topic Credit risk pricing
No-arbitrage conditions
Bootstrapping
CDS contracts
description This study introduces a nonparametric approach to pricing credit default swaps (CDSs) and other single-name credit-risky securities. This method is notable for its simplicity, estimation speed, and flexibility. That is, it relies exclusively on closed-form solutions, which provide instantaneous results, and allows the user to reproduce any term structure of CDS spreads. I empirically assess its pricing performance by comparing it with an otherwise equivalent semiparametric (piecewise constant default probability) model that requires a series of root-search algorithms and represents the current market convention for marking-to-market CDS contracts. This analysis demonstrates that the new method also implies a reduction in mean percentage absolute pricing errors.
publishDate 2025
dc.date.none.fl_str_mv 2025
2026
2026
dc.type.none.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14342/6011
https://doi.org/10.1016/j.jedc.2025.105198
url https://hdl.handle.net/20.500.14342/6011
https://doi.org/10.1016/j.jedc.2025.105198
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv (Paper version) A Simple Nonparametric Approach to Pricing Credit Default Swaps
Journal of Economic Dynamics and Control, Vol. 180, 105198
https://dx.doi.org/10.2139/ssrn.5432378
dc.rights.none.fl_str_mv Attribution 4.0 International
© L'autor/a
http://creativecommons.org/licenses/by/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Attribution 4.0 International
© L'autor/a
http://creativecommons.org/licenses/by/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 32 p.
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier B.V.
publisher.none.fl_str_mv Elsevier B.V.
dc.source.none.fl_str_mv reponame:DAU Arxiu Digital de la Universitat Ramon Llull
instname:Universitat Ramon Llull (URL)
instname_str Universitat Ramon Llull (URL)
reponame_str DAU Arxiu Digital de la Universitat Ramon Llull
collection DAU Arxiu Digital de la Universitat Ramon Llull
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869423734641655808
score 15,811543

Similares en LA Referencia