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How Much of Corporate-Treasury Yield Spread Is Due to Credit Risk?: A New Calibration Approach

Jing‐Zhi Huang, Ming Huang
Year2003
VenueSSRN Electronic Journal
Typearticle
Citations304
DOI10.2139/ssrn.307360
OpenAlexW2121639112

Topics

Credit Risk and Financial RegulationsCredit spread (options)TreasuryYield (engineering)CalibrationCredit risk