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This paper proposes an analytic method to estimate the option-implied correlation embedded in options on the iTraxx …
Persistent link: https://www.econbiz.de/10013091234
The economic-political instability of a country, which is tied to its credit risk, often leads to sharp depreciation and heightened volatility in its currency. This paper shows that not only the creditworthiness of the euro-area countries with weaker fiscal positions but also that of the member...
Persistent link: https://www.econbiz.de/10013115993