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- Title
Credit Default Swaps: Theory and Empirical Evidence.
- Authors
Meng, Lei; Gwilym, Owain AP
- Abstract
Evaluates the empirical literature of credit default swaps (CDS). Increase in global derivatives market in 1997 to 1999, according to a survey by the British Bankers Association; Classifications of CDS pricing models; Structure and trading motivation of CDS; Basic recovery forms that are commonly used in structural and reduced-form models.
- Subjects
DEFAULT (Finance); SWAPS (Finance); CREDIT; DERIVATIVE securities; BANKERS' associations; PRICING
- Publication
Journal of Fixed Income, 2005, Vol 14, Issue 4, p17
- ISSN
1059-8596
- Publication type
Article
- DOI
10.3905/jfi.2005.491109