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Credit default swaps in a roll-over risk framework
Spreads between swap legs referencing floating cashflows of different tenors have widened significantly since the global financial crisis of 2008. This frequency basis can be explained by the presence of “roll-over risk”. Defining the roll-over risk state variables in an affine form, this dissertati...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2022
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