Is tail risk priced in credit default swap premia? (Q4554763)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Is tail risk priced in credit default swap premia? |
scientific article; zbMATH DE number 6975945
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Is tail risk priced in credit default swap premia? |
scientific article; zbMATH DE number 6975945 |
Statements
Is Tail Risk Priced in Credit Default Swap Premia? (English)
0 references
9 November 2018
0 references
credit default swap
0 references
CDS tail beta
0 references
default risk
0 references
0.837472677230835
0 references
0.7556977868080139
0 references
0.7277442812919617
0 references
0.7190647125244141
0 references
0.7149300575256348
0 references
