Narrow search
Showing 1 - 10 of 17
Cover Image
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
Cover Image
Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - In: Management science : journal of the Institute for … 60 (2014) 9, pp. 2248-2268
Persistent link: https://www.econbiz.de/10010461908
Cover Image
Credit default swap spreads, fair-value spreads and interest rate dynamics
Yeh, Andy Jia-yuh - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 53-129
Persistent link: https://www.econbiz.de/10009700464
Cover Image
Economic uncertainty, disagreement, and credit markets
Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - In: Management science : journal of the Institute for … 60 (2014) 5, pp. 1281-1296
Persistent link: https://www.econbiz.de/10010369813
Cover Image
Informed bond trading, corporate yield spreads, and corporate default prediction
Han, Song; Zhou, Xing - In: Management science : journal of the Institute for … 60 (2014) 3, pp. 675-694
Persistent link: https://www.econbiz.de/10010347894
Cover Image
What do credit markets tell us about the speed of leverage adjustment?
Elkamhi, Redouane; Pungaliya, Raunaq S.; Vijh, Anand M. - In: Management science : journal of the Institute for … 60 (2014) 9, pp. 2269-2290
Persistent link: https://www.econbiz.de/10010461903
Cover Image
Systematic risk and yield premiums in the bond market
Fu, Liang; Murphy, Austin; Benzschawei, Terry - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 1-40
Persistent link: https://www.econbiz.de/10011298058
Cover Image
Vanishing contagion spreads
Duarte, Diogo; Prieto, Rodolfo; Rindisbacher, Marcel; … - In: Management science : journal of the Institute for … 68 (2022) 1, pp. 740-772
Persistent link: https://www.econbiz.de/10012821251
Cover Image
Affine modeling of credit risk, pricing of credit events, and contagion
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; … - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3674-3693
Persistent link: https://www.econbiz.de/10012606968
Cover Image
Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726