From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Matteo Michielon, Asma Khedher and Peter Spreij
| Year of publication: |
2021
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|---|---|
| Authors: | Michielon, Matteo ; Khedher, Asma ; Spreij, Peter |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 3, p. 1-22
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| Subject: | Bid-ask spread | Choquet integral | concave distortion | conic finance | credit default swap | default probability | distorted expectation | index of acceptability | liquidity | reduced-form model | two-price economy | Kreditderivat | Credit derivative | Geld-Brief-Spanne | Kreditrisiko | Credit risk | Risikoprämie | Risk premium | Insolvenz | Insolvency | Risiko | Risk | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500175 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012652634