Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach

Author:

Smirnov Sergey N.,Lapshin Victor A.,Kurbangaleev Marat Z.

Publisher

Springer Science and Business Media LLC

Subject

Electrical and Electronic Engineering,Control and Optimization,Mechanical Engineering,Aerospace Engineering,Civil and Structural Engineering,Software

Reference60 articles.

1. Adler M, Song J (2010) The behavior of emerging market sovereigns’ credit default swap premiums and bond yield spreads. Int J Financ Econ 15(1):31–58. doi: 10.1002/ijfe.408/full

2. Andersen LB, Peterbarg VV (2010) Interest rate modeling. Foundations and Vanilla models, vol 1. Atlantic Financial Press, Boston

3. Arce O, Mayordomo S, Peña JI (2013) Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis. J Int Money Financ 35:124–145. doi: 10.1016/j.jimonfin.2013.01.006

4. Bank for International Settlements (2013) Sovereign risk: a world without risk-free assets? In: Sovereign risk: a world without risk-free assets? vol 72, p 153, http://papers.ssrn.com/abstract=2420000

5. Beers DT, Js Nadeau (2015) Database of Sovereign Defaults. Technical report, Ottawa

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