Investigating the dependence structure between credit default swap spreads and the U.S. financial market

2009 ◽  
Vol 6 (4) ◽  
pp. 511-535 ◽  
Author(s):  
Hayette Gatfaoui
Keyword(s):  
Financial Market ◽  
Credit Default Swap ◽  
Dependence Structure ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads ◽  
The U.S

Valuation of systematic risk in the cross-section of credit default swap spreads

2017 ◽  
Vol 64 ◽  
pp. 183-195 ◽  
Author(s):  
Arndt Claußen ◽  
Sebastian Löhr ◽  
Daniel Rösch ◽  
Harald Scheule
Keyword(s):  
Cross Section ◽  
Systematic Risk ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
The Cross ◽  
Swap Spreads
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