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Time series models for credit default swap premiums
Eifert, Márton - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 21-44
Persistent link: https://www.econbiz.de/10011380101
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Sovereign risk and the pricing of corporate credit default swaps
Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone - In: The journal of credit risk : published quarterly by … 11 (2015) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011298504
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Contingent credit default swaps: accurate and approximate pricing
Koziol, Christian; Schön, Thomas - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10011566278
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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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Recovery swaps
Berd, Arthur M. - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. [61]-70
Persistent link: https://www.econbiz.de/10003198826
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Counterparty choice in the UK credit default swap market : an empirical matching approach
Ferrara, Gerardo; Kim, Jun Sung; Koo, Bonsoo; Liu, Zijun - In: Economic modelling 94 (2021), pp. 58-74
Persistent link: https://www.econbiz.de/10012694709
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How do sovereign risk, equity and foreign exchange derivatives markets interact?
Ibhagui, Oyakhilome - In: Economic modelling 97 (2021), pp. 58-78
Persistent link: https://www.econbiz.de/10012793299
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Credit default swaps and debt overhang
Wong, Tak-Yuen; Yu, Jin - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2069-2097
Persistent link: https://www.econbiz.de/10013262912
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Contagion in derivatives markets
Paddrik, Mark; Rajan, Sriram; Young, H. Peyton - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3603-3616
Persistent link: https://www.econbiz.de/10012289183
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Testing the transparency implications of mandatory IFRS adoption : the spread/maturity relation of credit default swaps
Bhat, Gauri; Callen, Jeffrey L.; Segal, Dan - In: Management science : journal of the Institute for … 62 (2016) 12, pp. 3472-3493
Persistent link: https://www.econbiz.de/10011626364