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Are banks different? : evidence form the CDS market

Raunig, Burkhard; Scheicher, Martin - 2009

Persistent link: https://www.econbiz.de/10003810904

Compression auctions : with an application to LIBOR-SOFR swap conversion

Duffie, Darrell - 2018

Persistent link: https://www.econbiz.de/10011941937

Essays on asset pricing with financial frictions

Klingler, Sven - 2017 - 1st edition

Persistent link: https://www.econbiz.de/10011823807

On the suboptimality of single-factor exercise strategies for Bermudan swaptions

Svenstrup, Mikkel - 2002

Persistent link: https://www.econbiz.de/10001746717

How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - 2014

measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …

Persistent link: https://www.econbiz.de/10010472838

Empirical studies of bond and credit markets

Feldhütter, Peter - 2007 - 1. ed.

Persistent link: https://www.econbiz.de/10003525474

Sustainability of public debt in Europe : the use of swaps

Oldani, Chiara; Giannini, Bianca - 2021

Persistent link: https://www.econbiz.de/10013169729

Did the founding of the Federal Reserve affect the vulnerability of the interbank system to systemic risk?

Carlson, Mark; Wheelock, David C. - 2016 - Draft: July 18, 2016

Persistent link: https://www.econbiz.de/10011539785

Essays on corporate loans and credit risk

Mølgaard, Pia - 2018 - 1st edition

how information ows between the corporate bond and the credit default swap market. …

Persistent link: https://www.econbiz.de/10012132198

Essays on financial frictions in lending markets

Daetz, Stine Louise - 2018 - 1st edition

The first essay shows that corporate bond issuers derive value from bond underwriter relationship capital. A strong underwriter relationship enables the underwriter to credibly certify the issuer on the bond market which is fundamental for firms when issuing new debt and refinancing maturing...

Persistent link: https://www.econbiz.de/10012132332