US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk
Year of publication: |
2007-01
|
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Authors: | Dunbar, Kwamie O. Dunbar, Sr. |
Institutions: | Department of Economics, University of Connecticut |
Subject: | Credit Default Swaps | Market Liquidity | Bid-Ask Spreads | Autonomous Credit Risk | Risk Premium |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | This is a preprint of an article submitted for consideration in the Journal of Quantitative finance 2007; cc Taylor and Francis; The Journal of Quantitative Finance is available online at http://journalsonline.tandf.co.uk/ Forthcoming in The Journal of Quantitative Finance The price is Free Number 2007-08 40 pages |
Source: |
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US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk
Dunbar, Kwamie, (2007)
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US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk
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