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~institution:"Nationalekonomiska Institutionen, Ekonomihögskolan"
~subject:"default probability"
~subject:"stock market index"
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default probability
stock market index
credit default swap index
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Book-to-Market Effect
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Credit Default Swap Premium
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credit derivative
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iTraxx
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Byström, Hans
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Byström, Hans N. E.
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Nationalekonomiska Institutionen, Ekonomihögskolan
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Working Papers / Nationalekonomiska Institutionen, Ekonomihögskolan
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Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market
Byström, Hans N. E.
-
Nationalekonomiska Institutionen, Ekonomihögskolan
-
2005
In this paper we provide some early evidence of a link between the iTraxx
credit
default
swap
(CDS) index market and …
Persistent link: https://www.econbiz.de/10005645191
Saved in:
2
Using Credit Derivatives to Compute Market-Wide Default Probability Term Structures
Byström, Hans
-
Nationalekonomiska Institutionen, Ekonomihögskolan
-
2005
) distributions from quoted
credit
default
swap
(CDS) index spreads. We apply the approach to two market-wide European portfolios …
Persistent link: https://www.econbiz.de/10005645158
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