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Rajnish Kamat

Research and Insights

Articles by Rajnish Kamat

    Exploring Default Swap Spread Variation

     Research Report | Jun 1, 2006 | Lisa Goldberg, Rajnish Kamat, Vijay Poduri

    We assess the effectiveness of the Barra Default Probability (BDP) model in explaining the cross-sectional variation of Credit Default Spreads. In order to establish the usefulness of the BDP model in forecasting real-world defaults, we test it against historical default experience. We find that the model shows good default discriminatory power relative to agency ratings.