Do sovergeign credit default swaps represent a clean measure of sovereign default risk? : a factor model approach
Year of publication: |
2013
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Authors: | Badaoui, Saad ; Cathcart, Lara ; Jahel, Lina el |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 7, p. 2392-2407
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Subject: | Sovereign CDs spreads | Default and liquidity intensities | Grid search method and exponential affine models | Kreditderivat | Credit derivative | Finanzdienstleistung | Financial services | Kreditrisiko | Credit risk | Länderrisiko | Country risk | Staatsbankrott | Sovereign default | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Insolvenz | Insolvency | Liquidität | Liquidity |
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