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Bank of Canada RSS Feedsen2024-03-29T09:44:12+00:00Default Dependence: The Equity Default Relationship
https://www.bankofcanada.ca/2008/01/working-paper-2008-1/
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier.2008-01-10T15:04:07+00:00enDefault Dependence: The Equity Default Relationship2008-01-10Econometric and statistical methodsFinancial marketsWorking Paper 2008-1 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-1.pdfDefault Dependence: The Equity Default RelationshipStuart TurnbullJun YangJanuary 2008GG1G12G13