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Determinants of credit default swaps spreads in European and Asian markets
Hassan, M. Kabir; Ngow, Thiti S.; Yu, Jung-suk; Hassan, … - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 295-310
Persistent link: https://www.econbiz.de/10010259397
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Attenuated model of pricing credit default swap under the fractional Brownian motion environment
Gu, Wenjing; Liu, Yinglin; Hao, Ruili - In: Journal of mathematical finance 6 (2016) 2, pp. 247-259
Persistent link: https://www.econbiz.de/10011543929
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Revisiting structural modeling of credit risk : evidence from the credit default swap (CDS) market
Huang, Zhijian; Luo, Yuchen - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-20
The ground-breaking Black-Scholes-Merton model has brought about a generation of derivative pricing models that have been successfully applied in the financial industry. It has been a long standing puzzle that the structural models of credit risk, as an application of the same modeling paradigm,...
Persistent link: https://www.econbiz.de/10011543979
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Credit default swaps as indicators of bank financial distress
Avino, Davide; Conlon, Thomas; Cotter, John - 2016
Persistent link: https://www.econbiz.de/10011502511
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Pricing credit default swap under fractional Vasicek interest rate model
Hao, Ruili; Liu, Yonghui; Wang, Shoubai - In: Journal of mathematical finance 4 (2014) 1, pp. 10-20
Persistent link: https://www.econbiz.de/10010422093
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Contagion effects and collateralized credit value adjustments for credit default swaps
Frey, Rüdiger; Rösler, Lars - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10010498864
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The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift
Liu, Xianghua; Xiao, Xueping - In: International journal of services technology and management 20 (2014) 1/2/3, pp. 71-84
Persistent link: https://www.econbiz.de/10010505392
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Sovereign bond spreads and credit default swap premia : cointegration and causality
Martín García, Margarita; Téllez, Cecilia; Martín … - In: Investment management and financial innovations 11 (2014) 2, pp. 47-59
Persistent link: https://www.econbiz.de/10010392834
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From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo; Khedher, Asma; Spreij, Peter - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
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The relationship between credit default swap and macroeconomic indicators : an example from Turkey
Akyüz, Gülay Çizgici; Bekar, Seval Akbulut - In: Contemporary issues in social science, (pp. 165-177). 2021
Persistent link: https://www.econbiz.de/10013174401