Do Rare Events Explain CDX Tranche Spreads?
研究了包含经济灾难概率的模型能否解释担保债务凭证（CDO）的价格，重点关注CDX指数的高级分档，发现模型在2008-2009年危机前后能解释其利差。
ABSTRACT We investigate whether a model with time‐varying probability of economic disaster can explain prices of collateralized debt obligations. We focus on senior tranches of the CDX, an index of credit default swaps on investment grade firms. These assets do not incur losses until a large fraction of previously stable firms default, and thus are deep out‐of‐the money put options on the overall economy. When calibrated to consumption data and to the equity premium, the model explains the spreads on CDX tranches prior to and during the 2008 to 2009 crisis.