Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.
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https://www.nber.org/papers/w15733
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资源简介：
Empirical tests of reduced form models of default attribute a large fraction of observed credit spreads to compensation for jump-to-default risk. However, these models preclude a "contagion-risk'' channel, where the aggregate corporate bond index reacts adversely to a credit event. In this paper, we
提供机构：
美国国家经济研究局
创建时间：
2010-02-01
