Explaining credit default swap spreads with the equity volatility and jump risks of individual firms
Year of publication: |
2009
|
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Authors: | Zhang, Benjamin Yibin ; Zhou, Hao ; Zhu, Haibin |
Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 22.2009, 12, p. 5099-5131
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Subject: | Swap | Kreditrisiko | Credit risk | Risikoprämie | Risk premium | Volatilität | Volatility | USA | United States | Kreditderivat | Credit derivative | 2001-2003 |
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