A value at risk analysis of credit default swaps
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References listed on IDEAS
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More about this item
KeywordsCredit default swap; Value at Risk; Capital structure arbitrage;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-07-20 (All new papers)
- NEP-FMK-2008-07-20 (Financial Markets)
- NEP-RMG-2008-07-20 (Risk Management)
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