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credit default swap 1 mark-to-market risk premium 1 spread risk premium 1 stochastic intensity model 1
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Free 1
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English 1
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Entrop, Oliver 1 Schiemert, Richard 1 Wilkens, Marco 1
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Credit and Capital Markets – Kredit und Kapital 1
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EconStor 1
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Spread Risk Premia in Corporate Credit Default Swap Markets
Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and Capital Markets – Kredit und Kapital 47 (2014) 4, pp. 571-610
The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection sellers for future changes in CDS spreads caused by unpredictable fluctuations in the reference entity"s risk-neutral default intensity. This paper defines and estimates a...
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