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~person:"Longstaff, Francis A."
~subject:"Credit"
~subject:"Insolvency"
~subject:"Optionspreistheorie"
~subject:"Zinsstruktur"
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Longstaff, Francis A.
Akram, Tanweer
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1
Deflation risk
Fleckenstein, Matthias
;
Longstaff, Francis A.
;
Lustig, Hanno
- In:
The review of financial studies
30
(
2017
)
8
,
pp. 2719-2760
Persistent link: https://www.econbiz.de/10011755601
Saved in:
2
Deflation risk
Fleckenstein, Matthias
;
Longstaff, Francis A.
;
Lustig, Hanno
-
2013
Persistent link: https://www.econbiz.de/10009784893
Saved in:
3
Corporate yield spreads: default risk or liquidity? : new evidence from the credit-default swap market
Longstaff, Francis A.
;
Mithal, Sanjay
;
Neis, Eric
-
2004
Persistent link: https://www.econbiz.de/10002022642
Saved in:
4
Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
Longstaff, Francis A.
-
2004
We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the...
Persistent link: https://www.econbiz.de/10012785748
Saved in:
5
Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
Longstaff, Francis A.
-
2004
We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the...
Persistent link: https://www.econbiz.de/10012468275
Saved in:
6
Corporate yield spreads : default tisk or liquidity? : New evidence from the credit default swap market
Longstaff, Francis A.
;
Mithal, Sanjay
;
Neiss, Eric
- In:
The journal of finance : the journal of the American …
60
(
2005
)
5
,
pp. 2213-2254
Persistent link: https://www.econbiz.de/10003159306
Saved in:
7
The relative valuation of caps and swaptions : theory and empirical evidence
Longstaff, Francis A.
;
Santa-Clara, Pedro
;
Schwartz, …
- In:
The journal of finance : the journal of the American …
56
(
2001
)
6
,
pp. 2067-2109
Persistent link: https://www.econbiz.de/10001631728
Saved in:
8
Throwing away a billion dollars : the cost of suboptimal exercise strategies in the swaptions market
Longstaff, Francis A.
;
Santa-Clara, Pedro
;
Schwartz, …
- In:
Journal of financial economics
62
(
2001
)
1
,
pp. 39-66
Persistent link: https://www.econbiz.de/10001608810
Saved in:
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