The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks
Year of publication: |
2006
|
---|---|
Authors: | Liu, Jun ; Longstaff, Francis A. ; Mandell, Ravit E. |
Published in: |
The journal of business : B. - Chicago, Ill : Univ. of Chicago Press, ISSN 0021-9398, ZDB-ID 2416177. - Vol. 79.2006, 5, p. 2337-2360
|
Saved in:
Saved in favorites
Similar items by person
-
THE MARKET PRICE OF RISK IN INTEREST RATE SWAPS: THE ROLES OF DEFAULT AND LIQUIDITY RISKS
Liu, Jun, (2004)
-
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
Liu, Jun, (2000)
-
The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks
Liu, Jun, (2006)
- More ...