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. The author provides a modified version o...

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Bibliographic Details
Main Author: Lim, Kian Guan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2005
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2785
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Institution: Singapore Management University
Language: English