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The credit risk components of a swap portfolio
Hübner, Georges - In: The journal of futures markets 24 (2004) 1, pp. 93-115
Persistent link: https://www.econbiz.de/10001850816
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Quadratic variance swap models
Filipović, Damir; Gourier, Elise; Mancini, Loriano - In: Journal of financial economics 119 (2016) 1, pp. 44-68
Persistent link: https://www.econbiz.de/10011589703
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An intergenerational cross-country swap
Padovani, Miret; Vanini, Paolo - 2009
economic development and with different long-term challenges. This 30-year-long swap is structured in such a way to capture the … today to pay for educational, technological, and other infrastructural services. To price the swap, we apply an exponential …
Persistent link: https://www.econbiz.de/10003970417
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The efficiency of the Estr overnight index swap market
Realdon, Marco - In: Journal of international financial markets, … 91 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014494849
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Stable distributions, futures prices, and the measurement of trading performance
Cornew, Ronald W. - In: The journal of futures markets 4 (1984) 4, pp. 531-557
Persistent link: https://www.econbiz.de/10001082393
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Financial institution credit assessment and implications for portfolio managers
Purda, Lynnette; Sonmez, Fatma; Zhong, Ligang - In: Journal of international financial markets, … 38 (2015), pp. 148-166
Persistent link: https://www.econbiz.de/10011475182
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Common risk factors in the cross-section of corporate bond returns
Bai, Jennie; Bali, Turan G.; Wen, Quan - In: Journal of financial economics 131 (2019) 3, pp. 619-642
Persistent link: https://www.econbiz.de/10012133022
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Forward-looking asset correlations in the estimation of economic capital
Chamizo, Álvaro; Fonollosa, Alexandre; Novales, Alfonso - In: Journal of international financial markets, … 61 (2019), pp. 264-288
Persistent link: https://www.econbiz.de/10012128297
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Valuing retail credit tranches with structural, double mixture models
Bae, Taehan; Iscoe, Ian; Kim, Changki - In: The journal of futures markets 35 (2015) 9, pp. 849-867
Persistent link: https://www.econbiz.de/10011392664
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Safer ratios, riskier portfolios : banks׳ response to government aid
Duchin, Ran; Sosyura, Denis - In: Journal of financial economics 113 (2014) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10010421835