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Credit volatility indexes

Mele, Antonio; Obayashi, Yoshiki - 2020 - This version: October 19, 2020

Persistent link: https://www.econbiz.de/10012419450

Are banks different? : evidence form the CDS market

Raunig, Burkhard; Scheicher, Martin - 2009

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

Special issue on credit risk and credit derivatives

Webb, Robert I. (contributor) - 2004

Persistent link: https://www.econbiz.de/10001850803

Copula sensitivity in collateralized debt obligations and basket default swaps

Meneguzzo, Davide; Vecchiato, Walter - In: The journal of futures markets 24 (2004) 1, pp. 37-70

Persistent link: https://www.econbiz.de/10001850813

The man in the middle-liquidity provision under central clearing in the credit default swap market : a regression discontinuity approach

Schönemann, Gregor - In: The journal of futures markets 42 (2022) 3, pp. 446-471

Persistent link: https://www.econbiz.de/10012817941

Corporate credit default swap systematic factors

Chan, Ka Kei; Lin, Ming-Tsung; Lu, Qinye - In: The journal of futures markets 44 (2024) 7, pp. 1224-1256

Persistent link: https://www.econbiz.de/10014553983

Credit default swaps and firm risk

Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692

Persistent link: https://www.econbiz.de/10014432924

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

Pricing interest rate-sensitive credit portfolio derivatives

Ehlers, Philippe (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003548060

Affine pricing and hedging of collateralized debt obligations

Eksia, Zehra; Filipović, Damir - 2020

Persistent link: https://www.econbiz.de/10012419633

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