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Credit default swaps and risk-shifting

✍ Scribed by Murillo Campello; Rafael Matta


Book ID
119232204
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
185 KB
Volume
117
Category
Article
ISSN
0165-1765

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Explaining credit default swap premia
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## 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