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Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis
Estimating Credit Term Structures Consistent CDS-Bond Basis
2010/11/3
In the third part of this series we introduce consistent relative value measures for CDS-Bond
basis trades using the bond-implied CDS term structure derived from fitted survival rate
curves. We expl...
Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures
Estimating Term Structures Consistent Risk Measures
2010/11/3
In the second part of our series we suggest new definitions of credit bond duration and
convexity that remain consistent across all levels of credit quality including deeply distressed bonds and intr...
Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures
Defining, Estimating Consistent Valuation Measures
2010/11/3
In this three-part series of papers, we argue that the conventional spread measures are not
well defined for credit-risky bonds and introduce a set of credit term structures which correct
for the bi...