Changing risk perception and the time-varying price of risk

DOI10.1093/ROF/RFV046MaRDI QIDQ4555592zbMATH OpenOpenAlexFDO

Authors Roland Füss, Thomas Gehrig, Philipp B. Rindler

Publication date 20 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://www.alexandria.unisg.ch/243253/1/Changing_Risk_Perception_Fuess_Gehrig_Rindler.pdf

zbMATH Keywords

bond marketschanges in risk perceptioncredit spreadsfinancial crisis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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