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DTS (Duration Times Spread) for CDS : a new measure of spread sensitivity
Dor, Arik Ben; Polbennikov, Simon; Rosten, Jeremy - In: The journal of fixed income 16 (2007) 4, pp. 32-44
Persistent link: https://www.econbiz.de/10003457017
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Sources of credit risk : evidence from credit default swaps
Chen, Ren-Raw; Fabozzi, Frank J.; Pan, Ging-Ging; … - In: The journal of fixed income 16 (2006) 3, pp. 7-21
Persistent link: https://www.econbiz.de/10003422016
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Corporate credit default swap liquidity and its implications for corporate bond spreads
Chen, Ren-Raw; Fabozzi, Frank J.; Sverdlove, Ronald - In: The journal of fixed income 20 (2010/11) 2, pp. 31-57
Persistent link: https://www.econbiz.de/10008667946
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Inferring default probabilities from credit spreads
Benzschawel, Terry; Assing, Andrew - In: The journal of fixed income 21 (2012) 4, pp. 13-24
Persistent link: https://www.econbiz.de/10009670765
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Problems with using CDS to infer default probabilities
Jarrow, Robert A. - In: The journal of fixed income 21 (2012) 4, pp. 6-12
Persistent link: https://www.econbiz.de/10009670767
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Valuing default swaps under market and credit risk correlation
Jarrow, Robert A.; Yildirim, Yildiray - In: The journal of fixed income 11 (2001) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10001701698
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Hedging systematic risk in high yield portfolios with a synthetic overlay : a comparative analysis of equity instruments vs. credit default swaps
Dor, Arik Ben; Guan, Jingling - In: The journal of fixed income 26 (2017) 4, pp. 5-24
Persistent link: https://www.econbiz.de/10011684756