Open AccessThe Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
Author(s) -
Jun Li,
Francis A. Longstaff,
Ravit E. Mandell
Publication year - 2002
Language(s) - English
Resource type - Reports
DOI - 10.3386/w8990
Subject(s) - interest rate swap , swap (finance) , economics , financial economics , interest rate , monetary economics , credit risk , credit default swap , econometrics , actuarial science , finance