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Modeling credit spreads with the Cheyette model and its application to credit default swaptions
Natcheva-Acar, Kalina; Acar, Sarp Kaya; Krekel, Martin - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 47-71
Persistent link: https://www.econbiz.de/10009518037
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An empirical study on the decoupling movements between corporate bond and CDS spreads
Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009
Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and …
Persistent link: https://www.econbiz.de/10011605131
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Corporate bond defaults are consistent with conditional independence
Kramer, Florian; Löffler, Gunter - In: The journal of credit risk : published quarterly by … 6 (2010/11) 2, pp. 3-35
Persistent link: https://www.econbiz.de/10008647010
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Extracting systematic factors in a continuous-time credit migration model
Thompson, Harley; Harris, Jonathan - In: The journal of credit risk : published quarterly by … 6 (2010/11) 1, pp. 31-53
Persistent link: https://www.econbiz.de/10003965723
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Lead-lag relationships and rating convergence among credit rating agencies
Güttler, André - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 95-119
Persistent link: https://www.econbiz.de/10009010624
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Valuation differences between credit default swap and corporate bond markets
Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: The journal of credit risk : published quarterly by … 9 (2013/14) 4, pp. 3-46
Persistent link: https://www.econbiz.de/10010233818
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Informed bond trading, corporate yield spreads, and corporate default prediction
Han, Song; Zhou, Xing - In: Management science : journal of the Institute for … 60 (2014) 3, pp. 675-694
Persistent link: https://www.econbiz.de/10010347894
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Systematic risk and yield premiums in the bond market
Fu, Liang; Murphy, Austin; Benzschawei, Terry - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 1-40
Persistent link: https://www.econbiz.de/10011298058
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A model of corporate bond pricing with liquidity and marketability risk
Tychon, Pierre; Vannetelbosch, Vincent J. - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. 3-35
Persistent link: https://www.econbiz.de/10003198798
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An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads
Alexopoulou, Ioana - 2009
Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and …
Persistent link: https://www.econbiz.de/10013156973