Price of Risk: Recent Evidence From Large Financials
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- Jeffery D Amato, 2005. "Risk aversion and risk premia in the CDS market," BIS Quarterly Review, Bank for International Settlements, December.
- Mr. Manmohan Singh, 2003. "Are Credit Default Swaps Spreads High in Emerging Markets: An Alternative Methodology for Proxying Recovery Value," IMF Working Papers 2003/242, International Monetary Fund.
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- Apanard P. Prabha & Clas Wihlborg & Thomas D. Willett, 2012. "Market Discipline for Financial Institutions and Markets for Information," Chapters, in: James R. Barth & Chen Lin & Clas Wihlborg (ed.), Research Handbook on International Banking and Governance, chapter 13, Edward Elgar Publishing.
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Keywords
WP; sc; risk neutrality assumption; Price of risk; risk-neutral probabilities; real-world probabilities; cheapest-to-deliver bonds; distance-to-distress; JPoD; LCFIs; CDS SpreadEquity market signal; equity market volatility; CDS spread; CDS SpreadEDF; Stock markets; Credit default swap; Credit; Securities markets; Global;All these keywords.
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