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Explaining aggregate credit default swap spreads

✍ Scribed by Bastian Breitenfellner; Niklas Wagner


Book ID
116577485
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
346 KB
Volume
22
Category
Article
ISSN
1057-5219

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Explaining credit default swap premia
✍ Christoph Benkert πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 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