The reward for trading illiquid maturities in credit default swap markets
Year of publication: |
September 2015
|
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Authors: | Arakelyan, Armen ; Rubio, Gonzalo ; Serrano, Pedro |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 39.2015, p. 376-389
|
Subject: | Credit default swaps | Illiquidity term structure | Intensity models | Default risk premium | Illiquidity risk premium | Risikoprämie | Risk premium | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Theorie | Theory | Insolvenz | Insolvency | Zinsstruktur | Yield curve | CAPM | Schätzung | Estimation | Swap | Marktliquidität | Market liquidity | Derivat | Derivative |
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