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Is Tail Risk Priced in Credit Default Swap Premia? - MaRDI portal

Is Tail Risk Priced in Credit Default Swap Premia? (Q4554763)

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scientific article; zbMATH DE number 6975945
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English
Is Tail Risk Priced in Credit Default Swap Premia?
scientific article; zbMATH DE number 6975945

    Statements

    title
    Is Tail Risk Priced in Credit Default Swap Premia? (English)
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    author
    Christian Meine
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    Hendrik Supper
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    Gregor N. F. Weiß
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    publication date
    9 November 2018
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    zbMATH Keywords
    credit default swap
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    CDS tail beta
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    default risk
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62M10
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    91G40
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    zbMATH DE Number
    6975945
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    OpenAlex ID
    W2104479834
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    DOI
    10.1093/ROF/RFV008
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