✦ LIBER ✦

Credit default swap spreads and variance risk premia

✍ Scribed by Wang, Hao; Zhou, Hao; Zhou, Yi

Book ID: 121288056
Publisher: Elsevier Science
Year: 2013
Tongue: English
Weight: 448 KB
Volume: 37
Category: Article
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2013.02.021

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Explaining credit default swap premia

✍ Christoph Benkert 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 169 KB

## Abstract This article proposes a simple approach for explaining credit default swap premia. Specifically, it investigates the effects of historical and option‐implied equity volatility on credit default swap premia, thus extending an idea proposed by Campbell and Taksler (in press) in the contex

Explaining aggregate credit default swap

Explaining aggregate credit default swap spreads

✍ Bastian Breitenfellner; Niklas Wagner 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 346 KB

Macroeconomic uncertainty and credit def

Macroeconomic uncertainty and credit default swap spreads

✍ Baum, Christopher F.; Wan, Chi 📂 Article 📅 2010 🏛 Taylor and Francis Group 🌐 English ⚖ 143 KB

Regime dependent determinants of credit

Regime dependent determinants of credit default swap spreads

✍ Carol Alexander; Andreas Kaeck 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 378 KB

Credit default swaps and risk-shifting

✍ Murillo Campello; Rafael Matta 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 185 KB

The impact of credit rating announcement

The impact of credit rating announcements on credit default swap spreads

✍ Finnerty, John D.; Miller, Cameron D.; Chen, Ren-Raw 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 674 KB