Price of Risk: Recent Evidence From Large Financials
August 1, 2010
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Format: Chicago
Summary
Subject: Banking, Credit, Credit default swap, Financial crises, Financial markets, Money, Securities markets, Stock markets
Keywords: CDS spread, CDS SpreadEDF, CDS SpreadEquity market signal, Cheapest-to-deliver bonds, Credit, Credit default swap, Distance-to-distress, Equity market volatility, Global, JPoD, LCFIs, Price of risk, Real-world probabilities, Risk neutrality assumption, Risk-neutral probabilities, Sc, Securities markets, Stock markets, WP
Publication Details
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Pages:
12
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Volume:
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DOI:
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Issue:
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Series:
Working Paper No. 2010/190
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Stock No:
WPIEA2010190
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ISBN:
9781455202249
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ISSN:
1018-5941