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Credit Derivatives and the Default Risk of Large Complex Financial Institutions

โœ Scribed by Calice, Giovanni; Ioannidis, Christos; Williams, Julian


Book ID
113065698
Publisher
Springer
Year
2011
Tongue
English
Weight
365 KB
Volume
42
Category
Article
ISSN
0920-8550

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## Abstract This study constructs a credit derivative pricing model using economic fundamentals to evaluate CDX indices and quantify the relationship between credit conditions and the economic environment. Instead of selecting specific economic variables, numerous economic and financial variables h