The information content of CDS implied volatility and associated trading strategies
Yukun Shi, Ding Chen, Biao Guo, Yaofei Xu, Cheng Yan
| Year of publication: |
2022
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|---|---|
| Authors: | Shi, Yukun ; Chen, Ding ; Guo, Biao ; Xu, Yaofei ; Yan, Cheng |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 83.2022, p. 1-16
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| Subject: | Implied volatility | CDS | Default probability | Trading strategies | Unit recovery claim | Volatilität | Volatility | Kreditderivat | Credit derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Kreditrisiko | Credit risk | Informationswert | Information value | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102295 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013460868