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Valuing retail credit tranches with structural, double mixture models
Bae, Taehan; Iscoe, Ian; Kim, Changki - In: The journal of futures markets 35 (2015) 9, pp. 849-867
Persistent link: https://www.econbiz.de/10011392664
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Are credit spreads too low or too high? : a hybrid barrier option approach for financial distress
Lin, William; Sun, David - In: The journal of futures markets 29 (2009) 12, pp. 1161-1189
Persistent link: https://www.econbiz.de/10003900991
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Economic determinants of default risks and their impacts on credit derivative pricing
Liao, Szu-Lang; Chang, Jui-jane - In: The journal of futures markets 30 (2010) 11, pp. 1058-1081
Persistent link: https://www.econbiz.de/10008900939
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How important is a non-default factor for CDS valuation?
Guo, Biao; Han, Qian; Lee, Jaeram; Ryu, Doojin - In: The journal of futures markets 35 (2015) 11, pp. 1088-1101
Persistent link: https://www.econbiz.de/10011546218
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Estimation of physical intensity models for default risk
Denault, Michel; Gauthier, Geneviève; Simonato, Jean-Guy - In: The journal of futures markets 29 (2009) 2, pp. 95-113
Persistent link: https://www.econbiz.de/10003831056
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Macroeconomic conditions and credit default swap spread changes
Kim, Tong Suk; Park, Jae Won; Park, Yuen Jung - In: The journal of futures markets 37 (2017) 8, pp. 766-802
Persistent link: https://www.econbiz.de/10011950882
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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
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Financial regulatory arbitrage and the financialization of commodities
Zheng, Zunxin; Zhang, Gaiyan; Ni, Yingzhao - In: The journal of futures markets 44 (2024) 5, pp. 826-853
Persistent link: https://www.econbiz.de/10014536691
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Credit risk management in Greater China
Byström, Hans N. E. - In: The journal of futures markets 28 (2008) 6, pp. 582-597
Persistent link: https://www.econbiz.de/10003715013
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Valuation and optimal strategies of convertible bonds
Liao, Szu-Lang; Huang, Hsing-Hua - In: The journal of futures markets 26 (2006) 9, pp. 895-922
Persistent link: https://www.econbiz.de/10003356485