On Bounding Credit Event Risk Premia
Author:
Publisher
Elsevier BV
Reference22 articles.
1. Jump-diffusion processes and the term structure of interest rates;Chang Ahn;Journal of Finance,1988
2. A new approach to measuring financial contagion;Kee-Hong Bae;Review of Financial Studies,2003
3. Modeling credit contagion via the updating of fragile beliefs;Luca Benzoni;Review of Financial Studies,2013
4. Measuring Default Risk Premia from Default Swap Rates and EDFs
Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Counter-Credit-Risk Yield Spreads: A Puzzle in China's Corporate Bond Market;International Review of Finance;2016-03-03
2. Pricing default events: Surprise, exogeneity and contagion;Journal of Econometrics;2014-10
3. The Impact of QE on Rollover Risk and Corporate Bond Maturity;SSRN Electronic Journal;2014
4. Pricing Default Events: Surprise, Exogeneity and Contagion;SSRN Electronic Journal;2013
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