Fiorani, Filippo; Luciano, Elisa; Semeraro, Patrizia - In: Quantitative Finance 10 (2010) 3, pp. 249-263
Structural models of credit risk are known to present both vanishing spreads at very short maturities and a poor spread … CDX.NA.IG and CDX.NA.HY components. By so doing, they show that it also circumvents the diffusive structural models …