Open AccessIs Tail Risk Priced in Credit Default Swap Premia?
Author(s) -
Christian Meine,
Hendrik Supper,
Gregor Weiß
Publication year - 2015
Publication title -
review of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 4.933
H-Index - 61
eISSN - 1875-824X
pISSN - 1572-3097
DOI - 10.1093/rof/rfv008
Subject(s) - credit default swap , credit default swap index , swap (finance) , itraxx , credit risk , basis point , financial crisis , monetary economics , risk premium , default risk , economics , financial system , business , financial economics , credit valuation adjustment , finance , interest rate , credit reference , macroeconomics
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