Explaining credit default swap spreads with the equity volatility and jump risks of individual firms
Year of publication: |
2005
|
---|---|
Authors: | Zhang, Benjamin Yibin ; Zhou, Hao ; Zhu, Haibin |
Institutions: | Federal Reserve Board (Board of Governors of the Federal Reserve System) |
Subject: | Swaps (Finance) | Risk management | Econometric models |
-
Cointegration test with stationary covariates and the CDS-bond basis during the financial crisis
Wu, Jason J., (2011)
-
(2012)
-
Risk management under UCITS IV
Szylar, Christian, (2012)
- More ...
-
Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis
Huang, Xin, (2009)
-
Huang, Xin, (2011)
-
A framework for assessing the systemic risk of major financial institutions
Huang, Xin, (2009)
- More ...