Spread Risk Premia in Corporate Credit Default Swap Markets
Year of publication: |
2014
|
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Authors: | Entrop, Oliver ; Schiemert, Richard ; Wilkens, Marco |
Published in: |
Credit and Capital Markets – Kredit und Kapital. - ISSN 2199-1235. - Vol. 47.2014, 4, p. 571-610
|
Publisher: |
Berlin : Duncker & Humblot |
Subject: | credit default swap | spread risk premium | mark-to-market risk premium | stochastic intensity model |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3790/ccm.47.4.571 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G15 - International Financial Markets |
Source: |
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Spread Risk Premia in Corporate Credit Default Swap Markets
Entrop, Oliver, (2014)
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Spread risk premia in corporate credit default swap markets
Entrop, Oliver, (2014)
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The pricing of risk in European credit and corporate bond markets
Berndt, Antje, (2007)
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Valuation differences between credit default swap and corporate bond markets
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Spread risk premia in corporate credit default swap markets
Entrop, Oliver, (2014)
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Valuation Differences between Credit Default Swap and Corporate Bond Markets
Entrop, Oliver, (2014)
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