Explaining credit default swap spreads with the equity volatility and jump risks of individual firms
Benjamin Yibin Zhang, Hao Zhou, and Haibin Zhu
| Year of publication: |
2005
|
|---|---|
| Authors: | Zhang, Benjamin Yibin ; Zhou, Hao ; Zhu, Haibin |
| Publisher: |
Washington, DC : Div. of Research & Statistics and Monetary Affairs, Federal Reserve Board |
| Subject: | Swap | Kreditrisiko | Credit risk | Risikoprämie | Risk premium | Volatilität | Volatility | USA | United States | Kreditderivat | Credit derivative | 2001-2003 |
| Extent: | 40 S |
|---|---|
| Series: | Finance and economics discussion series. - Washington, DC : Board of Governors of the Federal Reserve System, ZDB-ID 2178137-0. - Vol. 2005-63 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Internetausg.: http://www.federalreserve.gov/Pubs/FEDS/2005/200563/200563pap.pdf |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003234544