Measuring default risk premia from default swap rates and EDFs
AbstractOn 9-10 September 2004, the BIS held a workshop on
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Bibliographic InfoPaper provided by Bank for International Settlements in its series BIS Working Papers with number 173.
Length: 56 pages
Date of creation: Mar 2005
Date of revision:
default risk premia; default swap rates; EDFs;
Other versions of this item:
- Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, . "Measuring Default Risk Premia from Default Swap Rates and EDFs," GSIA Working Papers 2006-E31, Carnegie Mellon University, Tepper School of Business.
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