Giammarino F and Barrieu P ‘A semiparametric model for the systematic factors of portfolio credit

January 5, 2009/in Articles/by Academic Web Pages

Giammarino, F., and Barrieu, P. (2009) ‘A semiparametric model for the systematic factors of portfolio credit risk premia’, Journal of Empirical Finance, 16 4: 655-670. ISSN 0927-5398. DOI: 10.1016/j.jempfin.2009.05.001. Abstract.