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The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps
Shaw, Frances; Murphy, Finbarr; O'Brien, Fergal - In: Research in international business and finance 30 (2014), pp. 348-368
Persistent link: https://www.econbiz.de/10010391732
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Corporate yield spreads: default risk or liquidity? : new evidence from the credit-default swap market
Longstaff, Francis A.; Mithal, Sanjay; Neis, Eric - 2004
Persistent link: https://www.econbiz.de/10002022642
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Is Thailand's credit default swap market linked to bond and stock markets? : evidence from the term structure of credit spreads
Boonlert Jitmaneeroj - In: Research in international business and finance 46 (2018), pp. 324-341
Persistent link: https://www.econbiz.de/10011983668
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Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula
Harb, Etienne; Louhichi, Wael - In: Research in international business and finance 39 (2017), pp. 963-975
Persistent link: https://www.econbiz.de/10011912420
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Sovereign and bank interdependencies : evidence from the CDS market
Yu, Sherry - In: Research in international business and finance 39 (2017), pp. 68-84
Persistent link: https://www.econbiz.de/10011876438
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Optimal retirement benefit guarantees
Panageas, Stauros - 2010
Persistent link: https://www.econbiz.de/10003950872
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Liability investment with downside risk
Ang, Andrew; Chen, Bingxu; Sundaresan, Suresh M. - 2013
Persistent link: https://www.econbiz.de/10009748525
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Asset allocation and risk allocation : can social security improve its future solvency problem by investing in private securities?
MaCurdy, Thomas E.; Shoven, John B. - 1999
Persistent link: https://www.econbiz.de/10001376928
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Personal bankruptcy and credit supply and demand
Gropp, Reint; Scholz, John Karl; White, Michelle J. - 1996
Persistent link: https://www.econbiz.de/10000596851
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A direct approach to arbitrage-free pricing of credit derivatives
Das, Sanjiv R.; Sundaram, Rangarajan K. - 1998
Persistent link: https://www.econbiz.de/10000671238