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The reaction of stock prices to bankruptcy filing has been frequently analysed in the financial literature. In this paper we adopt a different approach to that of traditional study, and endeavour to determine whether the reaction of markets is conditioned by the orientation of bankruptcy law....
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In this article, we test the implied volatility of a credit risk of a bond, an interest rate swap and a swaption of … from significant fluctuations in the FOREX and Treasury bill interest rates. We find that the implied volatility is too … volatility decrease when we use a swaption …
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