An empirical study of CDS premium on the Korean sovereign bond : some effect of the CTD option
Year of publication: |
2017
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Authors: | Park, Keehwan ; Lee, Sangki |
Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 53.2017, 4, p. 848-864
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Subject: | cointegrating vector | country-specific risk | CTD option | global risk | parity relation | time-varying basis | Südkorea | South Korea | Risikoprämie | Risk premium | Öffentliche Anleihe | Public bond | Kreditderivat | Credit derivative | Risiko | Risk | Welt | World | Zinsstruktur | Yield curve | Länderrisiko | Country risk | Kointegration | Cointegration | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Schätzung | Estimation |
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