Anelli, Michele; Patanè, Michele; Toscano, Mario; … - In: Journal of risk and financial management : JRFM 13 (2020) 7/150, pp. 1-17
The recent financial crisis offered an interesting opportunity to analyze the markets'; behavior in a high-volatility framework. In this paper, we analyzed the price discovery process of the Italian banks’ Credit Default Swap (CDS) spreads through the Merton model, extended with the inclusion...
