CREDIT RISK: The determinants of corporate credit spreads - Credit default swaps (CDSS) are an integral tool used for the management of credit risk by financial institutions. Despite their importance, good models for the determination of CDS spreads, also called corporate credit spreads, are not readily available, The authors provide such a model.
| Year of publication: |
2007
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|---|---|
| Authors: | Jarrow, Robert ; Li, Li ; Mesler, Mark ; Deventer, Donald van |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 20.2007, 9, p. 134-137
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