Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads
收藏NBER2018-04-01 更新2025-01-04 收录
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https://www.nber.org/papers/w24506
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资源简介：
Sovereign CDS quanto spreadsthe difference between CDS premiums denominated in U.S. dollars and a foreign currencytell us how financial markets view the interaction between a country's likelihood of default and associated currency devaluations (the Twin Ds). A noarbitrage model applied to the term
提供机构：
美国国家经济研究局
创建时间：
2018-04-01
