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Did the repeated debt ceiling controversies embed default risk in US Treasury securities?

Liu, Pu; Shao, Yingying; Yeager, Timothy J. - In: Journal of banking & finance 33 (2009) 8, pp. 1464-1471

Persistent link: https://www.econbiz.de/10003855540

Effects of credit quality on tax-exempt and taxable yields

Liu, Sheen; Wang, Junbo; Wu, Chunchi - In: The journal of fixed income 13 (2003) 2, pp. 80-99

Persistent link: https://www.econbiz.de/10001803163

Rigid payment breaking, default spread and yields of Chinese treasury bonds

Huang, Xiaoyong; Yu, Cong; Chen, Yunping; Jia, Fei; Xu, … - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013413393

On the relative pricing of long maturity S&P 500 index options and CDX tranches

Collin-Dufresne, Pierre; Goldstein, Robert S.; Fan, Yang - 2010

"We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 options and tranche spreads on the five-year CDX index. We demonstrate the importance of calibrating the model to match the entire term structure of CDX index spreads because it...

Persistent link: https://www.econbiz.de/10003937134