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On the term structure of default premia in the swap and LIBOR Markets

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Author Info
Pierre Collin-Dufresne
Bruno Solnik
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Paper provided by Carnegie Mellon University, Tepper School of Business in its series GSIA Working Papers with number 1999-E18.

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Date of creation: Dec 1998
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Handle: RePEc:cmu:gsiawp:291

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Postal: Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890
Web page: http://www.tepper.cmu.edu/

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