Estimating Credit Risk Premia

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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書目詳細資料
主要作者:	Lim, Kian Guan
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2003
主題:	Corporate Finance Finance and Financial Management Portfolio and Security Analysis
在線閱讀:	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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