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Using Credit Derivatives to Compute Market-Wide Default Probability Term Structures

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Author

Publishing year

2005

Language

English

Publication/Series

Working Papers, Department of Economics, Lund University

Issue

44

Document type

Working paper

Publisher

Department of Economics, Lund University

Topic

  • Economics

Keywords

  • iTraxx
  • credit default swap index
  • default probability
  • term structure

Status

Published