FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS (Q5010070)
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scientific article; zbMATH DE number 7384598
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS |
scientific article; zbMATH DE number 7384598 |
Statements
FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS (English)
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24 August 2021
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bid-ask spread
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Choquet integral
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concave distortion
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conic finance
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credit default swap
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default probability
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distorted expectation
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index of acceptability
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liquidity
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reduced-form model
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two-price economy
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