Similar Search Results

The impact of credit rating announcements on credit default swap spreads

Finnerty, John D.; Miller, Cameron D.; Chen, Ren-Raw - In: Journal of banking & finance 37 (2013) 6, pp. 2011-2030

Persistent link: https://www.econbiz.de/10009741897

CDS-implied risk of US delinquency : implications for the US debt ceiling

Chen, Ren-Raw; Finnerty, John D.; Kamdem, Bruno G. - In: The journal of fixed income : JFI 31 (2021) 1, pp. 6-26

Persistent link: https://www.econbiz.de/10012613109

Credit default swaps valuation

Chen, Ren-Raw; Fabozzi, Frank J.; O'Kane, Dominic - 2008

Persistent link: https://www.econbiz.de/10003765787

Exploring the components of credit risk in credit default swaps

Fabozzi, Frank J.; Cheng, Xiaolin; Chen, Ren-Raw - In: Finance research letters 4 (2007) 1, pp. 10-18

Persistent link: https://www.econbiz.de/10003442040

Sources of credit risk : evidence from credit default swaps

Chen, Ren-Raw; Fabozzi, Frank J.; Pan, Ging-Ging; … - In: The journal of fixed income 16 (2006) 3, pp. 7-21

Persistent link: https://www.econbiz.de/10003422016

Corporate credit default swap liquidity and its implications for corporate bond spreads

Chen, Ren-Raw; Fabozzi, Frank J.; Sverdlove, Ronald - In: The journal of fixed income 20 (2010/11) 2, pp. 31-57

Persistent link: https://www.econbiz.de/10008667946

Dynamic interactions between interest-rate and credit risk : theory and evidence on the credit default swap term structure

Chen, Ren-Raw; Cheng, Xiaolin; Wu, Liuren - In: Review of finance : journal of the European Finance … 17 (2013) 1, pp. 403-441

Persistent link: https://www.econbiz.de/10009715216

Liquidity, leverage, and Lehman : a structural analysis of financial institutions in crisis

Chen, Ren-Raw; Chidambaran, Nemmara; Imerman, Michael B.; … - In: Journal of banking & finance 45 (2014), pp. 117-139

Persistent link: https://www.econbiz.de/10010466618

Credit derivatives : instruments, applications, and pricing

Anson, Mark Jonathan Paul; Fabozzi, Frank J.; Choudhry, … - 2004

Persistent link: https://www.econbiz.de/10001783706

Default Risk and Cross Section of Returns

Cakici, Nusret - 2019

Prior research uses the basic one-period European call-option pricing model to compute default measures for individual ﬁrms and concludes that both the size and book-to-market eﬀects are related to default risk. For example, small ﬁrms earn higher return than big ﬁrms only if they have...

Persistent link: https://www.econbiz.de/10012868989