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Variance and Volatility Swaps : Bubbles and Fundamental Prices
Jarrow, Robert A. - 2010
's price bubble. We show that the existence of variance swap market prices implies that there are no swap price bubbles …. Furthermore, we also show that under some mild additional assumptions the discretely sampled variance swap's market price can be …
Persistent link: https://www.econbiz.de/10013141918
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The effects of default and call risk on bond duration
Xie, Yan Alice; Liu, Sheen; Wu, Chunchi; Anderson, Bing - In: Journal of banking & finance 33 (2009) 9, pp. 1700-1708
Persistent link: https://www.econbiz.de/10003872871
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A leverage ratio rule for capital adequacy
Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976
Persistent link: https://www.econbiz.de/10009708725
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Financial constraints of private firms and bank lending behavior
Behr, Patrick; Norden, Lars; Noth, Felix - In: Journal of banking & finance 37 (2013) 9, pp. 3472-3485
Persistent link: https://www.econbiz.de/10010126386
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Default prediction with dynamic sectoral and macroeconomic frailties
Chen, Peimin; Wu, Chunchi - In: Journal of banking & finance 40 (2014), pp. 211-226
Persistent link: https://www.econbiz.de/10010402234
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Liquidity, credit quality, and the relation between volatility and trading activity : evidence from the corporate bond market
Wang, Junbo; Wu, Chunchi - In: Journal of banking & finance 50 (2015), pp. 183-203
Persistent link: https://www.econbiz.de/10010509587
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The effect of information sharing between lenders on access to credit, cost of credit and loan performance : evidence from a credit registry introduction
Behr, Patrick; Sonnekalb, Simon - In: Journal of banking & finance 36 (2012) 11, pp. 3017-3032
Persistent link: https://www.econbiz.de/10009672994
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Pricing derivatives on financial securities subject to credit risk
Jarrow, Robert A.; Turnbull, Stuart M. - In: Credit risk models and management, (pp. 333-374). 2004
Persistent link: https://www.econbiz.de/10002432611
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Practical usage of credit risk models in loan portfolio and counterparty exposure management: an update
Jarrow, Robert A.; Deventer, Donald R. van - In: Credit risk models and management, (pp. 573-597). 2004
Persistent link: https://www.econbiz.de/10002433486
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A guide to choosing absolute bank capital requirements
Carey, Mark S. - In: Journal of banking & finance 26 (2002) 5, pp. 929-951
Persistent link: https://www.econbiz.de/10001665093