Work

The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market

Year: 2007

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.967330

Authors: Nikola A. Tarashev, Haibin Zhu

Institution: Bank for International Settlements

Language: English

Topic: Credit Risk and Financial Regulations

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2022486338

Cites: 33

Cited by: 18

Related to: 10