Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach-Reference-Cited by-同舟云学术

Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach

Published:2013-07 Issue:7 Volume:37 Page:2392-2407
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Badaoui Saad,Cathcart Lara,El-Jahel Lina

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference31 articles.

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4. Berndt, A., Douglas, R., Duffie, D., Ferguson, M., Schranz, D. 2008. Measuring default risk premia from default swap rates and edfs. Working Paper, 2008.

5. Derivatives pricing with liquidity risk: theory and evidence from the credit default swap market;Bongaerts;Journal of Finance,2011

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