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Are all credit default swap databases equal?
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: European financial management : the journal of the … 20 (2014) 4, pp. 677-713
Persistent link: https://www.econbiz.de/10010503546
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Dollar borrowing, firm credit risk, and FX-hedged funding opportunities
Gálvez, Julio; Gambacorta, Leonardo; Mayordomo, Sergio; … - In: The journal of corporate finance : contracting, … 68 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012585788
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Affine modeling of credit risk, pricing of credit events, and contagion
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; … - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3674-3693
Persistent link: https://www.econbiz.de/10012606968
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Affine modeling of credit risk, pricing of credit events and contagion
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; … - 2019 - This version: December 2019
Persistent link: https://www.econbiz.de/10012237594
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Are there arbitrage opportunities in credit derivatives markets? : a new test and an application to the case of CDS and ASPs
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - 2009
Persistent link: https://www.econbiz.de/10003972605
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Credit and liquidity risks in euro-area sovereign yield curves
Monfort, Alain; Renne, Jean-Paul - 2011
Persistent link: https://www.econbiz.de/10009381803
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Fiscal sustainability, default risk and euro area sovereign bond spreads
Borgy, Vladimir; Laubach, Thomas; Mésonnier, Jean-Stéphane - 2011
Persistent link: https://www.econbiz.de/10009381809
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Default, liquidity and crises : an econometric framework
Monfort, Alain; Renne, Jean-Paul - 2011
Persistent link: https://www.econbiz.de/10009381919
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Credit and liquidity risks in Euro-area sovereign yield curves
Monfort, Alain; Renne, Jean-Paul - 2011
Persistent link: https://www.econbiz.de/10009552659
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The effect of liqudity on the price discovery process in credit derivatives markets in time of financial distress
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: The European journal of finance 17 (2011) 9/10, pp. 851-881
Persistent link: https://www.econbiz.de/10009529136