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Explaining Credit Default Swap Spreads with Equity Volatility and Jump Risks of Individual Firms
Language: en
Pages: 48
Authors: Yibin Zhang
Categories: Credit
Type: BOOK - Published: 2005 - Publisher:

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Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms
Language: en
Pages: 43
Authors: Benjamin Yi-Bin Zhang
Categories:
Type: BOOK - Published: 2013 - Publisher:

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This paper attempts to explain the credit default swap (CDS) premium, using a novel approach to identify the volatility and jump risks of individual firms from
Credit Default Swap Spreads and Variance Risk Premia (VRP)
Language: en
Pages: 43
Authors: Hao Wang
Categories: Reference
Type: BOOK - Published: 2011-04 - Publisher: DIANE Publishing

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Explaining Dredit Default Swap Spreads Witiz Eyuity Volatility and Jump Risks of Individual Firms
Language: en
Pages: 40
Authors: Benjamin Yibin Zhang
Categories:
Type: BOOK - Published: 2005 - Publisher:

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Explaining the Level of Credit Spreads
Language: en
Pages: 58
Authors: Martijn Cremers
Categories: Corporate bonds
Type: BOOK - Published: 2005 - Publisher:

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Prices of equity index put options contain information on the price of systematic downward jump risk. We use a structural jump-diffusion firm value model to ass