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Large-trader impact and market regulation
Gastineau, Gary L. - In: Financial analysts' journal : FAJ 47 (1991) 4, pp. 40-51
Persistent link: https://www.econbiz.de/10001111205
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VALUATION - Default Parameter Estimation Using Market Prices - A new method for estimating recovery rates and default likelihoods explicitly incorporates equity prices and a liquid...
Jarrow, Robert - In: Financial analysts' journal : FAJ 57 (2001) 5, pp. 75-92
Persistent link: https://www.econbiz.de/10006271965
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RISK MEASUREMENT AND MANAGEMENT - Liquidation Risk - What is the impact on key risk measures of spreads that are likely to widen just when positions must be liquidated to maintain...
Duffie, Darrell; Ziegler, Alexandre - In: Financial analysts' journal : FAJ 59 (2003) 3, pp. 42-51
Persistent link: https://www.econbiz.de/10006255195
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VALUATION - Floating-Fixed Credit Spreads - Yield spreads between floating-rate and fixed-rate notes of the same credit quality are modeled.
Duffie, Darrell; Liu, Jun - In: Financial analysts' journal : FAJ 57 (2001) 3, pp. 76-87
Persistent link: https://www.econbiz.de/10006275880
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VALUATION - Risk and Valuation of Collateralized Debt Obligations - An approach is offered to analyzing the risk and market valuation of collateralized debt obligations.
Duffie, Darrell; Gárleanu, Nicolae - In: Financial analysts' journal : FAJ 57 (2001) 1, pp. 41-59
Persistent link: https://www.econbiz.de/10006279386
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VALUATION - Credit Swap Valuation - The pricing of credit swaps, derivatives that act as default insurance on loans or bonds, is reviewed
Duffie, Darrell - In: Financial analysts' journal : FAJ 55 (1999) 1, pp. 73-87
Persistent link: https://www.econbiz.de/10006300458