Jobst, Rainer; Rösch, Daniel; Scheule, Harald; … - In: Journal of Futures Markets 35 (2015) 4, pp. 300-320
<section xml:id="fut21695-sec-0001"> This paper introduces a simple, non‐parametric way of inferring risk‐neutral credit stress event intensities for idiosyncratic, sectoral, and global shocks contained in market credit spreads. We provide an econometric analysis of the implied latent stress event dynamics. A vector...</section>
