Slow- and fast-moving information content of CDS spreads : new endogenous systematic factors
Year of publication: |
2021
|
---|---|
Authors: | Lin, Ming-Tsung ; Kolokolova, Olga ; Poon, Ser-Huang |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 27.2021, 1/2, p. 136-157
|
Subject: | CDS spread | credit risk | liquidity risk | systematic factors | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Risikoprämie | Risk premium | Finanzdienstleistung | Financial services | Zinsstruktur | Yield curve |
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