Default risk and diversification: Theory and empirical implications

Mathematical Finance

Volumn 15, Issue 1, 2005, Pages 1-26

  Jarrow, Robert A ^a   Lando, David ^b   Yu, Fan ^c,d  

^a Department of Obstetrics Gynecology   (United States)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

^c UNIVERSITY OF CALIFORNIA   (United States)

^d UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Default risk; Default risk premium; Diversification; Empirical and martingale default intensities

Indexed keywords

EID: 14544289520     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2005.00208.x     Document Type: Article

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