Benjamin Yi-Bin Zhang

UBS AG

Director

677 Washington Blvd

Stamford, CT 06901

United States

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Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms

Number of pages: 43 Posted: 20 Sep 2007 Last Revised: 18 Oct 2013
Benjamin Yi-Bin Zhang, Hao Zhou and Haibin Zhu
UBS AG, SUSTech Business School and Bank for International Settlements (BIS)
Downloads 1,872 (11,175)
Citation 62

Abstract:

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Credit Default Swap, Credit Risk Premium, Stochastic Volatility, Jumps, Structural Model, Nonlinear Effect, High-Frequency Data