Peipei Wang

Deakin University

Lecturer

75 Pigdons Road

Victoria, Victoria 3216

Australia

SCHOLARLY PAPERS

2

DOWNLOADS

626

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (2)

Component Structure of Credit Default Swap Spreads and Their Determinants

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 49 Posted: 04 Sep 2008
UNSW Business School, Risk and Actuarial Studies, UNSW Australia Business School, School of Banking and Finance and Deakin University
Downloads 414 (73,286)
Citation 3

Abstract:

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Credit default swaps, Credit risk, Latent components, Kalman filter

Component Structure of Credit Default Swap Spreads and Their Determinants

Number of pages: 45 Posted: 09 Dec 2017
UNSW Business School, Risk and Actuarial Studies, UNSW Australia Business School, School of Banking and Finance and Deakin University
Downloads 27 (521,277)
Citation 1

Abstract:

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CDS Spread, Component Structure, State Space Model

2.

Characteristic of Implied Volatility of CDSwaptions in ITraxx Market and its Relationship to Stock Market

Number of pages: 33 Posted: 13 May 2009
UNSW Business School, Risk and Actuarial Studies, UNSW Australia Business School, School of Banking and Finance and Deakin University
Downloads 185 (171,797)
Citation 5

Abstract:

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