Term Structure of CDS Spreads and Risk-Based Capital of the Protection Seller: An Extension of the Dynamic Nelson-Siegel Model with the Business Cycle (2020)

First Author: Baron S
Attributed to:  Delivering Inclusive Financial Development and Growth funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.3905/jfi.2020.1.089

Publication URI: http://dx.doi.org/10.3905/jfi.2020.1.089

Type: Journal Article/Review

Parent Publication: The Journal of Fixed Income

Issue: 2