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Estimating implied recovery rates from the term structure of CDS spreads

Estimating implied recovery rates from the term structure of CDS spreads
デジタル図書
Jaskowski, Marcin, McAleer, MichaelInstitute of Economic Research, Kyoto University2012-12KIER Discussion Paper836
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  • 要約等... recovery over constant recovery. We also obser......ating, implied constant recovery rates do not di er much from ...
  • 件名Constant recovery stochastic recovery implied r...

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