Default Risk in Corporate Yield Spreads
Year of publication: |
2005
|
---|---|
Authors: | Dionne, Georges ; Gauthier, Geneviève ; Hammami, Khemais ; Maurice, Mathieu ; Simonato, Jean-Guy |
Institutions: | Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) |
Subject: | Credit risk | default risk | corporate yield spread | transition matrix | default probability | Moody's | Standard and Poor's | recovery rate | data filtration | default cycle |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G21 - Banks; Other Depository Institutions; Mortgages ; G23 - Pension Funds; Other Private Financial Institutions |
Source: |
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