Rating, Credit Spread, and Pricing Risky Debt: Empirical Study on Taiwan's Security Market
Year of publication: |
2006
|
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Authors: | Hung, Ken ; Duan, Chang-Wen ; Yang, Chin W. |
Published in: |
Annals of Economics and Finance. - China Economics and Management Academy, ISSN 1529-7373. - Vol. 7.2006, 2, 11, p. 405-424
|
Publisher: |
China Economics and Management Academy |
Subject: | Credit spread | Default risk | Interest rate risk | Market price of risk | Put-call parity | VaR (Value at Risk) |
Extent: | application/pdf |
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Type of publication: | Article |
Language: | English |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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