Chung-Hua University Repository:Item 987654321/28728
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    CHUR > College of Management > Department of Finance > Seminar Papers >  Item 987654321/28728


    Please use this identifier to cite or link to this item: http://chur.chu.edu.tw/handle/987654321/28728


    Title: Option-implied Sentiment Measures and Credit Default Swap Spreads
    Authors: 陳怡璇
    Chen, Yi-Hsuan
    Contributors: 財務管理學系
    Finance
    Keywords: Investor sentiment;Credit default swap;Risk-neutral skewness;Credit risk
    Date: 2011
    Issue Date: 2014-06-27 00:07:05 (UTC+8)
    Abstract: This study sheds light on the role of option-implied investor sentiment in the credit default swap (CDS) market. Due to the limits to arbitrage caused by credit or counterparty risk and margin requirements, CDS spreads may deviate from fundamentals under
    Appears in Collections:[Department of Finance] Seminar Papers

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