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Credit default swaps and equity prices : the iTraxx CDS index market
Byström, Hans - In: Credit risk : models, derivatives, and management, (pp. 69-83). 2008
Persistent link: https://www.econbiz.de/10003718323
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The impact of stock returns volatility on credit default swap rates: A copula study
Abid, Fathi; Naifar, Nader - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1135-1155
Persistent link: https://www.econbiz.de/10003280048
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Stochastic volatilities and correlations of bond yields
Han, Bing - In: The journal of finance : the journal of the American … 62 (2007) 3, pp. 1491-1524
Persistent link: https://www.econbiz.de/10003477383
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Essays in financial economics
Graveline, Jeremy J. - 2006
Persistent link: https://www.econbiz.de/10003965315
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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …
Persistent link: https://www.econbiz.de/10010472838
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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …
Persistent link: https://www.econbiz.de/10010412464
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Credit default swaps and equity prices : the iTraxx CDS index market
Byström, Hans N. E. (contributor) - 2005 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002640666
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Stochastic volatilities and correlations of bond yields
Han, Bing (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001905452
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Equity Options, Credit Default Swaps and Leverage : A Simple Stochastic-Volatility Model for Equity and Credit Derivatives
Barone, Gaia - 2012
The aim of this paper is to extract credit-risk sensitive information from the quotes of equity options and CDSs. In particular, we wish to estimate the firm's leverage, as it is perceived by traders. This goal is achieved within a model à la Leland (1994), where stockholders have a perpetual...
Persistent link: https://www.econbiz.de/10013114821