English  |  正體中文  |  简体中文  |  Items with full text/Total items : 43312/67235
Visitors : 2167614      Online Users : 19
RC Version 5.0 © Powered By DSPACE, MIT. Enhanced by NTU/NCHU Library IR team.

Please use this identifier to cite or link to this item: http://nchuir.lib.nchu.edu.tw/handle/309270000/133273

標題: An empirical analysis of the CDX index and its tranches
作者: Fabozzi, F.J.;Wang, Y.C.;Yeh, S.K.;Chen, R.R.
關鍵字: risk;debt
日期: 2009
Issue Date: 2012-12-14 09:48:30 (UTC+8)
關連: Applied Economics Letters, Volume 16, Issue 14, Page(s) 1425-1431.
摘要: The desire of market participants to go long or short a portfolio of corporate credits led to the introduction of various types of indices of credit default swaps. In this article, we empirically investigate the relationships between the spreads of the North America CDX index and its tranches and their theoretical determinants. We find (1) support for a number of results predicted by the structural models used in credit risk modelling, such as the Merton model and (2) that CDX spreads are highly responsive to microstructure variables but not to macroeconomic variables.
Relation: Applied Economics Letters
Appears in Collections:[依教師分類] 葉仕國
[依資料類型分類] 期刊論文

loading Web of Knowledge data....

Files in This Item:

File SizeFormat






聯絡網站維護人員:wyhuang@nchu.edu.tw,04-22840290 # 412。

DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU/NCHU Library IR team Copyright ©   - Feedback