Probabilities of Default and the Market Price of Risk in a Distressed Economy
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More about this item
KeywordsCredit default swap; Price of risk; CDS; risk-neutral probability; probability; probabilities; equation; probability of default; conditional expectation;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-14 (All new papers)
- NEP-BAN-2011-05-14 (Banking)
- NEP-RMG-2011-05-14 (Risk Management)
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