Using Credit Derivatives to Compute Market-Wide Default Probability Term Structures
Författare
Avdelning/ar
Publiceringsår
2005
Språk
Engelska
Publikation/Tidskrift/Serie
Working Papers, Department of Economics, Lund University
Issue
44
Länkar
Dokumenttyp
Working paper
Förlag
Department of Economics, Lund University
Ämne
- Economics
Nyckelord
- iTraxx
- credit default swap index
- default probability
- term structure
Status
Published