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Using Credit Derivatives to Compute Market-Wide Default Probability Term Structures

Byström, Hans LU (2005) In Working Papers, Department of Economics, Lund University
Please use this url to cite or link to this publication:
author
organization
publishing date
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}},
}