The relation between credit risk premia and expected stock returns
碩士 === 國立中興大學 === 財務金融學系所 === 107 === Carr and Wu (2011) assumes that there exists default corridor which stock price will never enter. Based on the assumption, this paper uses deep-out-of-the-money (DOOM)American put spread to build up URC(unit recovery claim), in order to replace CDS and calculate...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/cgi-bin/gs32/gsweb.cgi/login?o=dnclcdr&s=id=%22107NCHU5304014%22.&searchmode=basic |