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CoCo bonds pricing with credit and equity calibrated first-passage firm value models

Brigo, Damiano; Garcia, João; Pede, Nicola - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10011403242

Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives

Wang, Qian - 2006 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003320531

Credit default swaps and corporate debt structure

Chen, Yangyang; Saffar, Walid; Shan, Chenyu; Wang, … - In: The journal of corporate finance : contracting, … 83 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014513164

Explaining credit ratings through a perpetual-debt structural model

Barone, Gaia - In: The journal of credit risk : published quarterly by … 17 (2021) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10012671409

A simple and precise method for pricing convertible bond with credit risk

Xiao, Tim - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 259-277

Persistent link: https://www.econbiz.de/10010259401

A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model

Dai, Tian-Shyr; Fan, Chen-Chiang; Liu, Liang-Chih; … - In: The journal of futures markets 42 (2022) 12, pp. 2103-2134

Persistent link: https://www.econbiz.de/10013465872

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

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 … corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact …

Persistent link: https://www.econbiz.de/10011343850

The default contagion of contingent convertible bonds in financial network

Li, Ping; Guo, Yanhong; Meng, Hui - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013449131

Spread term structure and default correlation

Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223

Persistent link: https://www.econbiz.de/10011592744

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