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SSRNDerivatives & Volatility

Risk Shocks and Business Cycles: Evidence from Credit Options

Options on the CDX index can predict short-term economic downturns by indicating changes in credit risk premia and shifts in credit market conditions.

Featured in No. 37 on 14 Feb 2024 · 5 days after release · 0 citations today

Released
9 Feb 2024
First featured
No. 37 · 14 Feb 2024
Citations (Semantic Scholar)
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Identifier
SSRN 4721719

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