کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090663 1375641 2008 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A first-passage-time model under regime-switching market environment
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
A first-passage-time model under regime-switching market environment
چکیده انگلیسی
Our numerical results provide us with several meaningful implications. First, default swap spread is higher in economic recession than in economic expansion across default swap maturity. Second, as the difference of asset return volatility between under bear market and under bull market increases, CDS spread increases regardless of maturity. Third, the bigger the intensity shifting from bull market to bear market, the higher the spread for both CDS without CDR and basket default swap.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 32, Issue 12, December 2008, Pages 2617-2627
نویسندگان
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