Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices.
| Year of publication: |
2006
|
|---|---|
| Authors: | Chan-Lau, Jorge A. |
| Publisher: |
Washington : International Monetary Fund |
| Subject: | Kreditderivat | Credit derivative | Derivat | Derivative | Kreditrisiko | Credit risk | Kapitalmarktrendite | Capital market returns | CAPM | Optionspreistheorie | Option pricing theory | Kapitalmarkttheorie | Financial economics |
| Extent: | 1 online resource (18 pages) |
|---|---|
| Series: | IMF working paper ; WP/06/148 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Description based on publisher supplied metadata and other sources. ""Contents""; ""I. INTRODUCTION""; ""II. EQUITY RETURNS AND SYSTEMATIC DEFAULT RISK""; ""III. EXTRACTING SYSTEMATIC DEFAULT RISK MEASURES FROM CREDIT DERIVATIVES PRICES""; ""IV. IS SYSTEMATIC DEFAULT RISK PRICED IN EQUITY RETURNS?""; ""V. CONCLUSIONS""; ""REFERENCES"" |
| ISBN: | 978-1-4527-0254-4 ; 978-1-4518-6408-3 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012691070