Using Credit Derivatives to Compute Market-Wide Default Probability Term Structures
(2005) In Working Papers, Department of Economics, Lund University
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1387203
- author
- Byström, Hans LU
- organization
- publishing date
- 2005
- type
- Working paper/Preprint
- publication status
- published
- subject
- keywords
- iTraxx, credit default swap index, default probability, term structure
- in
- Working Papers, Department of Economics, Lund University
- issue
- 44
- publisher
- Department of Economics, Lund University
- language
- English
- LU publication?
- yes
- id
- 96eda23b-5e4e-4513-8536-2751c4f3e7c2 (old id 1387203)
- alternative location
- http://swopec.hhs.se/lunewp/abs/lunewp2005_044.htm
- date added to LUP
- 2016-04-04 10:13:46
- date last changed
- 2018-11-21 20:57:31
@misc{96eda23b-5e4e-4513-8536-2751c4f3e7c2, author = {{Byström, Hans}}, keywords = {{iTraxx; credit default swap index; default probability; term structure}}, language = {{eng}}, note = {{Working Paper}}, number = {{44}}, publisher = {{Department of Economics, Lund University}}, series = {{Working Papers, Department of Economics, Lund University}}, title = {{Using Credit Derivatives to Compute Market-Wide Default Probability Term Structures}}, url = {{http://swopec.hhs.se/lunewp/abs/lunewp2005_044.htm}}, year = {{2005}}, }