Explaining CDS prices with Merton's model before and after the Lehman default
Year of publication: |
2019
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Authors: | Gemmill, Gordon ; Marra, Miriam |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 106.2019, p. 93-109
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Subject: | Credit crisis | Credit default swap | Idiosyncratic risk | Merton' model | Volatility smile | Kreditderivat | Credit derivative | Volatilität | Volatility | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Finanzkrise | Financial crisis | Risikoprämie | Risk premium | Insolvenz | Insolvency |
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