Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach (Q2401249)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach |
scientific article |
Statements
Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach (English)
0 references
8 September 2017
0 references
risk-free interest rates
0 references
term structure of credit spreads
0 references
sovereign default risk
0 references
euro zone
0 references
defaultable bond
0 references
credit default swap
0 references
zero coupon yield
0 references
market consistency
0 references
