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Sorin M. Sorescu
Texas A&M University
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SCHOLARLY PAPERS
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Scholarly Papers (1)
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1.
How to (Properly) Compute Credit Default Swap Returns
Number of pages: 45
Posted: 19 Apr 2023
Last Revised: 28 Aug 2023
Le (Lexi) Kang
,
Hwagyun Kim
,
Ju Hyun Kim
,
Seongjin (Justin) Kim
and Sorin M. Sorescu
Northwest University - School of Economics and Management, Texas A&M University - Mays Business School, Ajou University, School of Business, SUNY Plattsburgh and Texas A&M University
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Abstract:
Credit Default Swap, Upfront Fee, Skewness, Momentum
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