DTS (Duration Times Spread) for CDS : a new measure of spread sensitivity
Year of publication: |
2007
|
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Authors: | Dor, Arik Ben ; Polbennikov, Simon ; Rosten, Jeremy |
Published in: |
The journal of fixed income. - London : IPR Journals, ISSN 1059-8596, ZDB-ID 1116103-6. - Vol. 16.2007, 4, p. 32-44
|
Subject: | Unternehmensanleihe | Corporate bond | Kreditderivat | Credit derivative | Kreditversicherung | Credit insurance | Risikoprämie | Risk premium | Volatilität | Volatility | USA | United States | Europa | Europe |
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