Explaining credit default swap spreads with equity volatility and jump risks of individual firms
by Benjamin Yibin Zhang, Hao Zhou and Haibin Zhu
| Year of publication: |
2005
|
|---|---|
| Authors: | Zhang, Benjamin Yibin ; Zhou, Hao ; Zhu, Haibin |
| Publisher: |
Basel : Bank for Internat. Settlements |
| Subject: | Swap | Kreditrisiko | Credit risk | Risikoprämie | Risk premium | Volatilität | Volatility | USA | United States | Kreditderivat | Credit derivative | 2001-2003 |
| Extent: | 40 S graph. Darst |
|---|---|
| Series: | BIS working papers. - Basle, ISSN 1020-0959, ZDB-ID 1482126-6. - Vol. 181 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverz. S. 22 - 25 Internetausg.: http://www.bis.org/publ/work181.pdf |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003113897