Ravit E. Mandell

Salomon Smith Barney, Inc., U.S.

New York, NY 10013

United States

SCHOLARLY PAPERS

1

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Scholarly Papers (1)

The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads

AFA 2002 Atlanta Meetings
Number of pages: 44 Posted: 13 Oct 2001
Francis A. Longstaff, Jun Liu and Ravit E. Mandell
University of California, Los Angeles (UCLA) - Finance Area, University of California, San Diego (UCSD) - Rady School of Management and Salomon Smith Barney, Inc., U.S.
Downloads 1,025 (16,382)
Citation 33

Abstract:

The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads

NBER Working Paper No. w8990
Number of pages: 38 Posted: 13 Jun 2002 Last Revised: 27 Oct 2010
Jun Liu, Francis A. Longstaff and Ravit E. Mandell
University of California, San Diego (UCSD) - Rady School of Management, University of California, Los Angeles (UCLA) - Finance Area and Salomon Smith Barney, Inc., U.S.
Downloads 126 (190,033)
Citation 35

Abstract: