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This study empirically examine the impact of market conditions on credit spreads as motivated by recently developed structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads are decreasing in GDP growth rate, but increasing...
Persistent link: https://www.econbiz.de/10005082769
indicate that measuring the impact of the endogenous liquidity on the valuation of the portfolio is quite realistic. Second, we …
Persistent link: https://www.econbiz.de/10010984717