All your CDS models are wrong

By Robert Jarrow

It is a common belief that it is simple to extract implied default probabilities from CDS spreads. But, argues Robert Jarrow, the conventional methods are drastically flawed

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Comment by: Anonymous. Posted 6 years ago [2012-11-20 02:44:12]

Good, pointed article. Professor Jarrow highlights the error that many experts still make of confusing the risk-neutral PD with the actual PD.