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Corporate yield spreads : default tisk or liquidity? : New evidence from the credit default swap market
Longstaff, Francis A.; Mithal, Sanjay; Neiss, Eric - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2213-2254
Persistent link: https://www.econbiz.de/10003159306
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An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps
Blanco, Roberto; Brennan, Simon; Marsh, Ian - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2255-2282
Persistent link: https://www.econbiz.de/10003159335
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The impact of margin interest on the valuation of credit default swaps
Kan, Yu Hang; Pedersen, Claus - In: The journal of derivatives : the official publication … 20 (2012) 1, pp. 60-79
Persistent link: https://www.econbiz.de/10009671707
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
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Recent advances in default swap valuation
Cheng, Wai-yan - In: The journal of derivatives : the official publication … 9 (2001) 1, pp. 18-27
Persistent link: https://www.econbiz.de/10001618895
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Berd, Arthur M.; Kapoor, Vivek - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 66-76
Persistent link: https://www.econbiz.de/10001770081
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Asymmetric dynamics between informed trading activity and credit default swaps
Hu, Wen-Cheng; Huang, Alex - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 70-85
Persistent link: https://www.econbiz.de/10011968700
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An economic analysis of interest rate swaps
Bicksler, James L. - In: The journal of finance : the journal of the American … 41 (1986) 3, pp. 645-655
Persistent link: https://www.econbiz.de/10001047822
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Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Brigo, Damiano; Morini, Massimo - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 40-60
Persistent link: https://www.econbiz.de/10003379121
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Stochastic volatilities and correlations of bond yields
Han, Bing - In: The journal of finance : the journal of the American … 62 (2007) 3, pp. 1491-1524
Persistent link: https://www.econbiz.de/10003477383