On the Term Structure of Default Premia in the Swap and LIBOR Markets
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Reference20 articles.
1. Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates;Chen;Journal of Fixed Income,1993
2. The default risk on swaps;Cooper;Journal of Finance 46,1991
3. The relation between treasury yields and corporate bond yield spreads;Duffee;Journal of Finance,1998
4. Estimating the price of default risk;Duffee;The Review of Financial Studies,1999
5. Swap rates and credit quality;Duffie;Journal of Finance 51,1996
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