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

Click Here To Download PDF


Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here