Berndt, Antje (contributor); Obreja, Iulian (contributor) - 2007
This paper investigates the determinants of the default risk premia embedded in the European credit default swap … the default risk premia embed-
ded in the European credit default swap spreads. Using a modifled version of
the …
called " ight to quality" efiect.
JEL No: G12, G13, G15
Keywords: credit default swap, default risk premium, European credit …