Narrow search
Showing 1 - 10 of 18
Cover Image
The determinants of credit default swap premia
Ericsson, Jan; Jacobs, Kris; Oviedo, Rodolfo - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 1, pp. 109-132
Persistent link: https://www.econbiz.de/10003854347
Cover Image
The economic role of jumps and recovery rates in the market for corporate default risk
Schneider, Paul; Sögner, Leopold; Veza, Tanja - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 6, pp. 1517-1547
Persistent link: https://www.econbiz.de/10008909155
Cover Image
An explicit, multi-factor credit default swap pricing model with correlated factors
Chen, Ren-Raw; Cheng, Xiaolin; Fabozzi, Frank J.; Liu, Bo - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 1, pp. 123-160
Persistent link: https://www.econbiz.de/10003692397
Cover Image
Related securities and equity market quality : the case of CDS
Boehmer, Ekkehart; Sudheer, Chava; Tookes, Heather E. - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 3, pp. 509-541
Persistent link: https://www.econbiz.de/10011391412
Cover Image
Are credit default swaps a sideshow? : evidence that information flows from equity to CDS markets
Hilscher, Jens; Pollet, Joshua M.; Wilson, Mungo - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 3, pp. 543-567
Persistent link: https://www.econbiz.de/10011391417
Cover Image
How does the market value toxic assets?
Longstaff, Francis A.; Myers, Brett W. - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 2, pp. 297-319
Persistent link: https://www.econbiz.de/10010487158
Cover Image
The cross section of recovery rates and default probabilities implied by credit default swap spreads
Elkamhi, Redouane; Jacobs, Kris; Pan, Xuhui - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 1, pp. 193-220
Persistent link: https://www.econbiz.de/10010408536
Cover Image
Corporate hedging and speculative incentives : implications for swap market default risk
Mozumdar, Abon - In: Journal of financial and quantitative analysis : JFQA 36 (2001) 2, pp. 221-250
Persistent link: https://www.econbiz.de/10001626024
Cover Image
Counterparty risk in over-the-counter markets
Frei, Christoph; Capponi, Agostino; Brunetti, Celso - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 3, pp. 1058-1082
Persistent link: https://www.econbiz.de/10013187330
Cover Image
Real economic shocks and sovereign credit risk
Augustin, Patrick; Tédongap, Roméo - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 2, pp. 541-587
Persistent link: https://www.econbiz.de/10011577512