Cross-currency credit spreads : harvesting the idiosyncratic basis as a source of ARP
Year of publication: |
2022
|
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Authors: | Henide, Karim |
Published in: |
Journal of derivatives and quantitative studies. - Bingley, United Kingdom : Emerald Publishing Services, ISSN 2713-6647, ZDB-ID 3064233-4. - Vol. 30.2022, 2, p. 74-88
|
Subject: | Fixed income | Covered interest rate parity | Alternative risk premia | Static arbitrage | Zinsparität | Interest rate parity | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Arbitrage | Anleihe | Bond | Kreditrisiko | Credit risk | Unternehmensanleihe | Corporate bond | Währungsderivat | Currency derivative | Schätzung | Estimation |
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