Spread risk premia in corporate credit default swap markets
Year of publication: |
2014
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Authors: | Entrop, Oliver ; Schiemert, Richard ; Wilkens, Marco |
Published in: |
Credit and capital markets : Kredit und Kapital. - Berlin : Duncker & Humblot, ISSN 2199-1227, ZDB-ID 2719821-2. - Vol. 47.2014, 4, p. 571-610
|
Subject: | credit default swap | spread risk premium | mark-to-market risk premium | stochastic intensity model | Risikoprämie | Risk premium | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Theorie | Theory | Schätzung | Estimation | Zinsstruktur | Yield curve | Derivat | Derivative |
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