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~institution:"Deutsche Bundesbank <Frankfurt, Main> / Volkswirtschaftliche Forschungsgruppe"
~subject:"Risikoprämie"
~subject:"World"
~subject:"Yield curve"
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The pricing of correlated default risk:evidence from the credit derivatives market
Tarashev, Nikola
;
Zhu, Haibin
-
Deutsche Bundesbank <Frankfurt, Main> / …
-
2008
swap
(CDS) index – we extract risk-neutral probabilities ofdefault (PDs) and physical asset return correlations from single …
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