Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach (Q2401249)
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scientific article; zbMATH DE number 6770918
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| English | Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach |
scientific article; zbMATH DE number 6770918 |
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Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach (English)
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8 September 2017
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risk-free interest rates
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term structure of credit spreads
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sovereign default risk
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euro zone
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defaultable bond
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credit default swap
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zero coupon yield
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market consistency
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0.6993652582168579
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0.6969903707504272
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0.695698082447052
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0.682039737701416
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0.6816359758377075
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