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Default clustering risk premium and its cross-market asset pricing implications

Kiwoong Byun, Baeho Kim, and Dong Hwan Oh
Year of publication:
August 11, 2023
Authors: Byun, Kiwoong ; Kim, Baeho ; Oh, Dong Hwan
Publisher: Washington, D.C. : Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board
Subject: Credit Default Swap (CDS) | CDS Index (CDX) | Reference Tranche Rate | Default Clustering Risk Premium | Kreditderivat | Credit derivative | Risikoprämie | Risk premium | Kreditrisiko | Credit risk | Theorie | Theory | CAPM
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