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
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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In this issue
The Journal of Fixed Income
Vol. 30, Issue 2
Fall 2020
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