Excess comovement in credit default swap markets : evidence from the CDX indices
Year of publication: |
2019
|
---|---|
Authors: | Cathcart, Lara ; Jahel, Lina el ; Evans, Leo ; Shi, Yining |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 43.2019, p. 96-120
|
Subject: | CDX indices | Credit default swaps | Credit ratings | Excess comovement | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Swap | Schätzung | Estimation | Kreditwürdigkeit | Credit rating | Derivat | Derivative |
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