Detecting abnormal changes in credit default swap spreads using matching-portfolio models
Year of publication: |
May 2018
|
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Authors: | Bertoni, Fabio ; Lugo, Stefano |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 90.2018, p. 146-158
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Subject: | Event studies | Credit default swaps | Matching-portfolio models | Size and power of tests | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Derivat | Derivative | Kapitaleinkommen | Capital income | Ereignisstudie | Event study | Swap | Theorie | Theory |
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