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Pricing inflation-indexed derivatives with default risk

Chen, Son-nan; Hsu, Pao-Peng - In: The European journal of finance 24 (2018) 15, pp. 1272-1287

Persistent link: https://www.econbiz.de/10012258889

U.S. Real Interest Rates and Default Risk in Emerging Economies

Foley-Fisher, Nathan - 2012

This paper empirically investigates the impact of changes in US real interest rates on sovereign default risk in emerging economies using the method of identification through heteroskedasticity. Policy-induced increases in US interest rates starkly raise default risk in emerging market...

Persistent link: https://www.econbiz.de/10013101894

Credit spread implied by inflation-indexed convertible bonds

Landskroner, Yoram; Raviv, Alon - In: Banking review 8 (2003), pp. 15-31

Persistent link: https://www.econbiz.de/10001961607

Corporate yield spreads and real interest rates

Batten, Jonathan A.; Jacoby, Gady; Liao, Rose C. - In: International review of financial analysis 34 (2014), pp. 89-100

Persistent link: https://www.econbiz.de/10010528471

Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations

Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802

Persistent link: https://www.econbiz.de/10009381011

Interest rate swap credit valuation adjustment

Černý, Jakub; Witzany, Jiří - 2014

needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …

Persistent link: https://www.econbiz.de/10010358352

The impact of CDS trading on the bond market : evidence from Asia

Shim, Ilhyock; Zhu, Haibin - In: Journal of banking & finance 40 (2014), pp. 460-475

Persistent link: https://www.econbiz.de/10010404699

Sovereign bond spreads and credit default swap premia : cointegration and causality

Martín García, Margarita; Téllez, Cecilia; Martín … - In: Investment management and financial innovations 11 (2014) 2, pp. 47-59

Persistent link: https://www.econbiz.de/10010392834

Illiquid Market and Credit Derivatives. Evidence from the Greek Market by Testing the Credit Derivatives Swap, CDS Spread Points

Guirguis, Michel - 2019

Credit derivative swap of the Greek market is a financial instrument the value of which is derived from an underlying … arbitrage. The premium that is incorporated in the default swap, DS, is known as the credit derivative swap spread. The credit … credit default swap is linked to an interest rate swap or an option. The integration of an interest rate swap with an option …

Persistent link: https://www.econbiz.de/10012890759

Spread Risk Premia in Corporate Credit Default Swap Markets

Entrop, Oliver - 2016

The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection …

Persistent link: https://www.econbiz.de/10013008411

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