From default probabilities to credit spreads: Credit risk models do explain market prices

Stefan M. Denzler, Michel Dacorogna, Ulrich A. Muller and Alexander J. McNeil

Finance Research Letters, 2006, vol. 3, issue 2, 79-95

Date: 2006
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Working Paper: From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:3:y:2006:i:2:p:79-95

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