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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
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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
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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
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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
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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
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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
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Anchoring credit default swap spreads to firm fundamentals
Bai, Jennie; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 5, pp. 1521-1543
Persistent link: https://www.econbiz.de/10011665132
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What drives the commonality between credit default swap spread changes?
Anderson, Mike - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 1, pp. 243-275
Persistent link: https://www.econbiz.de/10011667731
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Credit default swaps and lender incentives in bank debt renegotiations
Chakraborty, Indraneel; Chava, Sudheer; Ganduri, Rohan - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 5, pp. 1911-1942
Persistent link: https://www.econbiz.de/10014365145
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Foreign acquisition and credit risk : evidence from the U.S. CDS market
Yilmaz, Umit - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 4, pp. 1734-1767
Persistent link: https://www.econbiz.de/10014309627