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Term Structure of CDS Spreads and Risk-Based Capital of the Protection Seller: An Extension of the Dynamic Nelson–Siegel Model with the Business Cycle

Standley R. Baron and Issouf Soumaré
The Journal of Fixed Income Fall 2020, 30 (2) 86-115; DOI: https://doi.org/10.3905/jfi.2020.1.089
Standley R. Baron
is a research professional at the Department of Finance, Insurance and Real Estate, Laval University in Quebec, Canada
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Issouf Soumaré
is professor of finance at Laboratory for Financial Engineering of Laval University & Department of Finance, Insurance and Real Estate, Laval University in Quebec, Canada
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The Journal of Fixed Income: 30 (2)
The Journal of Fixed Income
Vol. 30, Issue 2
Fall 2020
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Term Structure of CDS Spreads and Risk-Based Capital of the Protection Seller: An Extension of the Dynamic Nelson–Siegel Model with the Business Cycle
Standley R. Baron, Issouf Soumaré
The Journal of Fixed Income Sep 2020, 30 (2) 86-115; DOI: 10.3905/jfi.2020.1.089

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Term Structure of CDS Spreads and Risk-Based Capital of the Protection Seller: An Extension of the Dynamic Nelson–Siegel Model with the Business Cycle
Standley R. Baron, Issouf Soumaré
The Journal of Fixed Income Sep 2020, 30 (2) 86-115; DOI: 10.3905/jfi.2020.1.089
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  • Article
    • Abstract
    • THE MODEL
    • EMPIRICAL ANALYSIS
    • RISK-BASED CAPITAL ANALYSIS
    • CONCLUSION
    • ACKNOWLEDGMENT
    • ADDITIONAL READING
    • ENDNOTES
    • REFERENCES
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