Credit spread decomposition : decomposing Bond-Level credit OAS into default and liquidity components
Siddhartha G. Dastidar and Bruce D. Phelps
| Year of publication: |
2011
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|---|---|
| Authors: | Dastidar, Siddhartha G. ; Phelps, Bruce D. |
| Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Pageant Media Ltd., ISSN 0095-4918, ZDB-ID 197145-1. - Vol. 37.2010/11, 3, p. 70-84
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| Subject: | Kreditrisiko | Credit risk | Zinsstruktur | Yield curve | Dekompositionsverfahren | Decomposition method | Unternehmensanleihe | Corporate bond | Betriebliche Liquidität | Corporate liquidity | Theorie | Theory | Liquidität | Liquidity | Risikoprämie | Risk premium |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009129548