Explaining credit default swap premia
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Christoph Benkert
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Article
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2003
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John Wiley and Sons
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English
β 169 KB
## Abstract This article proposes a simple approach for explaining credit default swap premia. Specifically, it investigates the effects of historical and optionβimplied equity volatility on credit default swap premia, thus extending an idea proposed by Campbell and Taksler (in press) in the contex