The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
Year of publication: |
2002-06
|
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Authors: | Longstaff, Francis A. ; Liu, Jun ; Mandell, Ravit E. |
Institutions: | National Bureau of Economic Research (NBER) |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | AP published as Liu, Jun, Francis A. Longstaff, and Ravit Mandell. "The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks." The Journal of Business 79, 5 (September 2006): 2337-2360. Number 8990 |
Classification: | E4 - Money and Interest Rates |
Source: |
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