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A spread-based model for the valuation of credit derivatives with correlated defaults and counter-party risks
Chang, Chuang-chang; Yu, Jih-Chieh - In: Research in finance 23 (2006), pp. 193-220
Persistent link: https://www.econbiz.de/10003753454
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Corporate yield spreads : default tisk or liquidity? : New evidence from the credit default swap market
Longstaff, Francis A.; Mithal, Sanjay; Neiss, Eric - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2213-2254
Persistent link: https://www.econbiz.de/10003159306
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Empirical analysis of credit risk regime switching and temporal conditional default correlation in credit default swap valuation : the market liquidity effect
Dunbar, Kwamie (contributor); Edwards, Albert J. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003474201
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Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options
Carr, Peter; Wu, Liuren - In: Journal of banking & finance 31 (2007) 8, pp. 2383-2403
Persistent link: https://www.econbiz.de/10003522944
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Are credit default swaps associated with higher corporate defaults?
Peristiani, Stavros C.; Savino, Vanessa - 2011
Are companies with traded credit default swap (CDS) positions on their debt more likely to default? Using a …
Persistent link: https://www.econbiz.de/10009011410
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Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
Hao, Xuemiao; Li, Xuan - In: Insurance / Mathematics & economics 65 (2015), pp. 103-110
Persistent link: https://www.econbiz.de/10011422882
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Sovereign risk and the pricing of corporate credit default swaps
Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone - In: The journal of credit risk : published quarterly by … 11 (2015) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011298504
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Sovereign risk and the pricing of corporate credit default swaps
Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone - 2014
Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default swaps (CDS) are positively correlated with corresponding corporate CDS spreads and are a significant...
Persistent link: https://www.econbiz.de/10011343850
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Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146
Persistent link: https://www.econbiz.de/10010256178