𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Market and Model Credit Default Swap Spreads: Mind the Gap!

✍ Scribed by Mascia Bedendo; Lara Cathcart; Lina El-Jahel


Book ID
111059239
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
143 KB
Volume
17
Category
Article
ISSN
1354-7798

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Back to the future: Futures margins in a
✍ Hans N. E. BystrΓΆm πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 236 KB

## Abstract The introduction of exchange‐traded credit default swap (CDS) index futures is eminent and this development in the credit market is the subject of this article. A theoretically appealing and practically implementable approach to computing accurate futures margins based on extreme value