Mathis Moerke

University of St. Gallen - Swiss Institute of Banking and Finance

Rosenbergstrasse 52

St. Gallen, CH-9000

Switzerland

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Scholarly Papers (1)

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Credit Variance Risk Premiums

University of St.Gallen, School of Finance Research Paper No. 2019/08
Number of pages: 48 Posted: 24 Jun 2019 Last Revised: 18 Sep 2019
Manuel Ammann and Mathis Moerke
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
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Abstract:

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Variance risk premium, CDS implied volatility, CDS variance swap