Liquidity risk and volatility risk in credit spread models : a unified approach
Stylianos Perrakis, Rui Zhong
| Year of publication: |
2017
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|---|---|
| Authors: | Perrakis, Stylianos ; Zhong, Rui |
| Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 23.2017, 5, p. 873-901
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| Subject: | liquidity risk | volatility risk | credit risk | structural model | Kreditrisiko | Credit risk | Volatilität | Volatility | Risikoprämie | Risk premium | Risiko | Risk | Theorie | Theory | Zinsstruktur | Yield curve | Liquidität | Liquidity | Risikomaß | Risk measure | Betriebliche Liquidität | Corporate liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/eufm.12127 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011865496