Do sovergeign credit default swaps represent a clean measure of sovereign default risk? : a factor model approach
Saad Badaoui; Lara Cathcart; Lina El-Jahel
| Year of publication: |
2013
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|---|---|
| Authors: | Badaoui, Saad ; Cathcart, Lara ; Jahel, Lina el |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 7, p. 2392-2407
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| Subject: | Sovereign CDs spreads | Default and liquidity intensities | Grid search method and exponential affine models | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Länderrisiko | Country risk | Zinsstruktur | Yield curve | Staatsbankrott | Sovereign default | Schätzung | Estimation | Risikoprämie | Risk premium | Theorie | Theory | Liquidität | Liquidity | Insolvenz | Insolvency | Faktorenanalyse | Factor analysis | Kreditversicherung | Credit insurance |
| 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://ebvufind01.dmz1.zbw.eu/10009760637