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Sovereign risk premia in the European government bond market
Bernoth, Kerstin / Schuknecht, Ludger / von Hagen, Jürgen
credit risk / fixed incomeResource overview

Sovereign risk premia in the European government bond market

Paper2004

by Bernoth, Kerstin, Schuknecht, Ludger, von Hagen, Jürgen

Tags
credit riskfixed incomeinterest rates

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  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

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  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

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  4. Conditional Expectation

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  3. Threshold Models and the Gaussian Copula for Portfolio Default

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