The signalling properties of the shape of the credit default swap term structure
Year of publication: |
2015
|
---|---|
Authors: | Castellanos, Jenny ; Constantinou, Nick ; Wing Lon Ng |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 17.2014/2015, 4, p. 71-99
|
Subject: | Credit risk | Implied volatility | Term structure | Risk management | Original research | Theorie | Theory | Kreditrisiko | Kreditderivat | Credit derivative | Zinsstruktur | Yield curve | Volatilität | Volatility | Risikomanagement |
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