Measuring default risk premia from default swap rates and EDFs

Antje Berndt, Rohan Douglas, Darrell Duffie, Mark Ferguson and David Schranz
Additional contact information
Antje Berndt: Carnegie Mellon University
Rohan Douglas: Cornell University
David Schranz: Cornell University

No 173, BIS Working Papers from Bank for International Settlements

Abstract: On 9-10 September 2004, the BIS held a workshop on

Keywords: default risk premia; default swap rates; EDFs (search for similar items in EconPapers)
Pages: 56 pages
Date: 2005-03
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Citations: View citations in EconPapers (116)

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Working Paper: Measuring Default Risk Premia from Default Swap Rates and EDFs
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