The pricing of unexpected credit losses
Year of publication: |
2005-11
|
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Authors: | Amato, Jeffery D. ; Remolona, Eli M |
Institutions: | Bank for International Settlements (BIS) |
Subject: | credit spread puzzle | jump-at-default risk | Sharpe ratio | collateralised debt obligation |
Extent: | application/pdf text/html |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 190 46 pages |
Classification: | C13 - Estimation ; C32 - Time-Series Models ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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