Estimation and evaluation of the term structure of credit default swaps: An empirical study

DOI10.1016/J.INSMATHECO.2008.05.005zbMath1154.91495OpenAlexW2003100070MaRDI QIDQ2518537

Xiaolin Cheng, Bo Liu, Ren-Raw Chen

Publication date: 16 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.005

Mathematics Subject Classification ID

Related Items (2)

Enhancing credit default swap valuation with meshfree methods ⋮ Recovering default risk from CDS spreads with a nonlinear filter

Cites Work

• An Intertemporal General Equilibrium Model of Asset Prices
• Unnamed Item

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