Can structural models price default risk? : evidence from bond and credit derivative markets
Year of publication: |
2015
|
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Authors: | Ericsson, Jan ; Reneby, Joel ; Wang, Hao |
Published in: |
The quarterly journal of finance. - Singapore : World Scientific Publ., ISSN 2010-1392, ZDB-ID 2620599-3. - Vol. 5.2015, 3, p. 1-32
|
Subject: | Default risk | structural models | credit default swaps | corporate bonds | yield spreads | Theorie | Theory | Kreditrisiko | Credit risk | Unternehmensanleihe | Corporate bond | Kreditderivat | Credit derivative | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Derivat | Derivative | Insolvenz | Insolvency |
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