Extraction of implied default probabilites and expected recovery values from a combination of bond prices and CDS spreads
Year of publication: |
2014
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Authors: | Shynkevich, Andrei |
Published in: |
The journal of fixed income. - London : IPR Journals, ISSN 1059-8596, ZDB-ID 1116103-6. - Vol. 23.2014, 3, p. 91-102
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Subject: | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Anleihe | Bond | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Insolvenz | Insolvency | Kreditversicherung | Credit insurance |
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