Do Rare Events Explain CDX Tranche Spreads?
NBER Working Paper No. 22723
---- Acknowledgments ----
We thank Pierre Collin-Dufresne, Hitesh Doshi, Kris Jacobs, Mete Kilic, Nick Roussanov, Ivan Shaliastovich, Pietro Veronesi, Amir Yaron and seminar participants at AFA annual meetings, University of Houston, and the Wharton School for helpful comments. We thank the Rodney L. White Center for research support. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.