Open AccessExplaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
Author(s) -
Benjamin Yibin Zhang,
Hao Zhou,
Haibin Zhu
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 , equity (law) , variance swap , volatility (finance) , jump , credit default swap index , swap (finance) , itraxx , monetary economics , business , financial economics , credit risk , volatility swap , economics , financial system , implied volatility , credit valuation adjustment , actuarial science , finance , credit reference , physics , quantum mechanics , political science , law
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