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default times. The methods presented are used to reproduce the spreads of the iTraxx Europe tranches. We apply hierarchical …
Persistent link: https://www.econbiz.de/10010274189
Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...
Persistent link: https://www.econbiz.de/10010274190
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