Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market
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More about this item
Keywordscredit default swap index; stock market index; stock return volatility;
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-03-20 (All new papers)
- NEP-FIN-2005-03-20 (Finance)
- NEP-FMK-2005-03-20 (Financial Markets)
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