Work

Are the Risk-Free Interest Rates Correlated with Sovereign Default Intensities?

Year: 2019

Type: article

Source: The Journal of Fixed Income

DOI: 10.3905/jfi.2019.1.068

Author: Yusho Kagraoka

Institution: Musashi University

Language: English

Topic: Credit Risk and Financial Regulations

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Japan Society for the Promotion of Science

Award: Pricing and forecasting of sovereign CDS premium with stochastic risk-free rate and default intensity

OpenAlex ID: W2931925273

FWCI: 0.298

Cites: 24

Cited by: 2

Related to: 10