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Essays on credit risk, interest rate risk and macroeconomic risk
Hou, Yuanfeng - 2003
Persistent link: https://www.econbiz.de/10003628359
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Valuation models for default-risky securities : an overview
Nandi, Saikat - In: Economic review 83 (1998) 4, pp. 22-35
Persistent link: https://www.econbiz.de/10001352539
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The reward for trading illiquid maturities in credit default swap markets
Arakelyan, Armen; Rubio, Gonzalo; Serrano, Pedro - In: International review of economics & finance : IREF 39 (2015), pp. 376-389
Persistent link: https://www.econbiz.de/10011572470
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Valuation of systematic risk in the cross-section of credit default swap spreads
Claußen, Arndt; Löhr, Sebastian; Rösch, Daniel; … - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 183-195
Persistent link: https://www.econbiz.de/10011792305
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Default clustering risk premium and its cross-market asset pricing implications
Byun, Kiwoong; Kim, Baeho; Oh, Dong Hwan - 2023
Persistent link: https://www.econbiz.de/10014377671
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The impact of CDX spreads on individual credit default swap contracts
Davaadorj, Zagdbazar - In: International Journal of Financial Markets and … 10 (2024) 1, pp. 35-46
Persistent link: https://www.econbiz.de/10015064459
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Three essays on asset pricing and risk management
Huang, Zhijiang - 2007
Persistent link: https://www.econbiz.de/10003566087
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Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854
Persistent link: https://www.econbiz.de/10011308161
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Mean Swap Variance, Portfolio Thoery and Asset Pricing
Chow, Victor - 2018
Superior to the variance, "swap variance (SwV)" summarizes the entire probability distribution of returns and is … unbiased to distributional asymmetry. Retaining the same simplicity as mean-variance (MV) model, the efficiency of mean-swap …
Persistent link: https://www.econbiz.de/10012934044
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Moment risk premiums in option markets : on measurement, structure, and investment implications
Dörries, Julian - 2021
Rationale Anleger sind im Allgemeinen risikoavers. Eine wichtige Implikation dieser Risikoaversion ist, dass Anleger für bestimmte Risiken, die sie eingehen, eine Kompensation verlangen – Risikoprämien. Ein Beispiel für solche Risikoprämien sind Momentenrisikoprämien. Sie sind definiert...
Persistent link: https://www.econbiz.de/10012816290