The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
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下载链接：
https://www.nber.org/papers/w8990
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资源简介：
This paper studies the market price of credit risk incorporated into one of the most important credit spreads in the financial markets: interest rate swap spreads. Our approach consists of jointly modeling the swap and Treasury term structures using a general five-factor affine credit framework and
提供机构：
美国国家经济研究局
创建时间：
2002-06-01
