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Pricing credit default swaps under multifactor reduced-form models : a differential quadrature approach
Andreoli, Alessandro; Ballestra, Luca Vincenzo; … - In: Computational economics 51 (2018) 3, pp. 379-406
Persistent link: https://www.econbiz.de/10011963685
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Hedge effectiveness of the credit default swap indices : a spectral decomposition and network topology analysis
Sinka, Peter; Zeitsch, Peter J. - In: Computational economics 60 (2022) 4, pp. 1375-1412
Persistent link: https://www.econbiz.de/10013447437
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Performance of tail hedged portfolio with third moment variation swap
Lee, Kyungsub; Seo, Byoung Ki - In: Computational economics 50 (2017) 3, pp. 447-471
Persistent link: https://www.econbiz.de/10011783329
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Evaluating the default risk of bond portfolios with extreme value theory
Ma, Yong; Zhang, Zhengjun; Zhang, Weiguo; Xu, Weidong - In: Computational economics 45 (2015) 4, pp. 647-668
Persistent link: https://www.econbiz.de/10011440981
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Portfolio correlations in the bank-firm credit market of Japan
Luu, Duc Thi - In: Computational economics 60 (2022) 2, pp. 529-569
Persistent link: https://www.econbiz.de/10013380791
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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
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Swap rates and credit quality
Duffie, Darrell - In: The journal of finance : the journal of the American … 51 (1996) 3, pp. 921-949
Persistent link: https://www.econbiz.de/10001203636
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The default risk of swaps
Cooper, Ian - In: The journal of finance : the journal of the American … 46 (1991) 2, pp. 597-620
Persistent link: https://www.econbiz.de/10001108680
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Swaps: plain and fanciful
Litzenberger, Robert H. - In: The journal of finance : the journal of the American … 47 (1992) 3, pp. 831-850
Persistent link: https://www.econbiz.de/10001132041
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Interest rate swaps and corporate financing choices
Titman, Sheridan - In: The journal of finance : the journal of the American … 47 (1992) 4, pp. 1503-1516
Persistent link: https://www.econbiz.de/10001133686