Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and Capital Markets – Kredit und Kapital 47 (2014) 4, pp. 571-610
The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection … intensity. This paper defines and estimates a measure of the spread risk premium component in CDS spreads of a sample of …