Tail Return Analysis of Bear Stearns Credit Default Swaps
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- Li, Liuling & Mizrach, Bruce, 2010. "Tail return analysis of Bear Stearns' credit default swaps," Economic Modelling, Elsevier, vol. 27(6), pages 1529-1536, November.
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More about this item
KeywordsBear Stearns; credit default swap; Bayesian analysis; exponential power distribution;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-20 (All new papers)
- NEP-BAN-2010-03-20 (Banking)
- NEP-FMK-2010-03-20 (Financial Markets)
- NEP-RMG-2010-03-20 (Risk Management)
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