market price of credit risk
Subtitle: an empirical analysis of interest rate swap spreads
By: Jun Liu, Francis A. Longstaff, Ravit E. Mandell.
Contributors: Longstaff, Francis A., 1956-; Mandell, Ravit E.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 8990; Working paper series (National Bureau of Economic Research) -- working paper no. 8990.
Publisher: National Bureau of Economic Research
Published: 2002
Place of publication: Cambridge, MA
Language: eng
Number of pages: 19
Subjects: Swaps (Finance) -- United States.; Finance -- United States.; Risk.
Notes: "June 2002."

JEL no. E4.

Includes bibliographical references.

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Electronic version available via the Internet at the NBER World Wide Web site.