Estimating Credit Risk Premia
This paper investigates the nature of the credit risk premium adjustments in the Jarrow-Lando-Turnbull model of credit risk spreads. The adjustments relate the equivalent martingale measures to the empirical measures of unconditional transition probabilities. We provide a modi ed version of the risk...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2003
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1909 https://ink.library.smu.edu.sg/context/lkcsb_research/article/2908/viewcontent/0603paper.pdf |
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| Institution: | Singapore Management University |
| Language: | English |