Jenny Castellanos

University of Essex - Centre for Computational Finance and Economic Agents

Wivenhoe Park

Colchester, Essex CO4 3SQ

United Kingdom

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Scholarly Papers (1)

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The Signalling Properties of the Shape of the Credit Default Swap Term Structure

Journal of Risk, Vol. 17, No. 4, 2015
Number of pages: 30 Posted: 29 Jun 2016
Jenny Castellanos, Nick Constantinou and Wing Lon Ng
University of Essex - Centre for Computational Finance and Economic Agents, University of Essex - Essex Business School and Bounded Rationality Advancement in Computational Intelligence Laboratory (BRACIL)
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Abstract:

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credit risk, CDS term structure, Nelson–Siegel, implied volatility