Open AccessExplaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
Author(s) -
Hao Zhu,
Benjamin Zhang,
Hao Zhou
Publication year - 2005
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2005.63
Subject(s) - credit default swap , volatility (finance) , jump , equity (law) , economics , econometrics , credit default swap index , variance swap , credit valuation adjustment , credit risk , implied volatility , financial economics , monetary economics , volatility swap , actuarial science , physics , quantum mechanics , political science , law , credit reference