Similar Search Results

Pricing anomaly at the first sight : same borrower in different currencies faces different credit spreads : an explanation by means of a quanto option

Rathgeber, Andreas W.; Rudolph, David; Stöckl, Stefan - In: Review of derivatives research 18 (2015) 2, pp. 107-143

Persistent link: https://www.econbiz.de/10011477291

Systematic risk and yield premiums in the bond market

Fu, Liang; Murphy, Austin; Benzschawei, Terry - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 1-40

Persistent link: https://www.econbiz.de/10011298058

Sovereign bond spreads and credit sensitivity

Schefer, Ricardo - 2020

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

Persistent link: https://www.econbiz.de/10012307696

The Jarrow/Turnbull Default Risk Model Evidence from the German Market

Sögner, Leopold - 2018

observations of German bank bond prices, based on the default-free term structure estimated from the Svensson (1994) model provided … depend on the estimation period and on the bond used for estimation. This result strongly supports separate estimation over …

Persistent link: https://www.econbiz.de/10012923107

Unsolicited versus solicited : credit ratings and bond yields

Han, Seung Hun; Moore, William Theodore; Shin, Yoon S.; … - In: Journal of financial services research : JFSR 43 (2013) 3, pp. 293-319

Persistent link: https://www.econbiz.de/10009758096

Pricing credit-risky bonds using recovery rate uncertainty and macro-regime switching

Chen, Son-nan; Hsu, Pao-Peng; Liang, Kuo-yuan - In: The European journal of finance 30 (2024) 2, pp. 127-143

Persistent link: https://www.econbiz.de/10014547348

Default risk characteristics of poll-based bond spreads : evidence from India

M, Jayadev; Jacob, Joshy - In: Journal of emerging market finance 9 (2010) 1, pp. 51-70

Persistent link: https://www.econbiz.de/10010216670

Analyzing determinants of bond yield spreads with Bayesian Model Averaging

Maltritz, Dominik; Molchanov, Alexander - In: Journal of banking & finance 37 (2013) 12, pp. 5275-5284

Persistent link: https://www.econbiz.de/10010343731

Dynamic optimal capital structure with regime switching

Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 2, pp. 199-220

Persistent link: https://www.econbiz.de/10011376180

CDS-bond basis and bond return predictability

Kim, Gi H.; Li, Haitao; Zhang, Weina - In: Journal of empirical finance 38 (2016), pp. 307-337

Persistent link: https://www.econbiz.de/10011664711