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The variation of default risk with treasury yields

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Author Info
Gregory R. Duffee
Abstract

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Publisher Info
Article provided by Board of Governors of the Federal Reserve System (U.S.) in its journal Proceedings.

Volume (Year): (1995)
Issue (Month): ()
Pages: 29-58
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Handle: RePEc:fip:fedgpr:y:1995:p:29-58

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Related research
Keywords: Risk ; Government securities ; Corporate bonds;

Cited by:
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  1. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
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This page was last updated on 2009-10-20.


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