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Credit spreads : an empirical analysis on the informational content of stocks, bonds, and CDS
Forte, Santiago; Peña Sánchez de Rivera, Juan Ignacio - In: Journal of banking & finance 33 (2009) 11, pp. 2013-2025
Persistent link: https://www.econbiz.de/10003892177
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Collateralized Debt Obligations: Bewertung, Portfoliosteuerung, Aufsichtsrecht
Tilke, Stephan - 2008
Persistent link: https://www.econbiz.de/10003679381
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Credit Spreads : An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS
Forte, Santiago - 2012
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads. A general VECM representation is proposed for changes in the three credit spread measures which accounts for zero, one, or two independent cointegration equations, depending...
Persistent link: https://www.econbiz.de/10012755686
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Credit Default Swaps und Informationsgehalt
Wagner, Eva - 2008
Kredit und Kreditrisiko -- Kreditderivate -- Der Credit Default Swap (CDS) -- Externes Rating, CDS und Informationseffi … anderer etablierter Märkte, auf denen das Kreditrisiko relevant ist, sowie dem des externen Rating gegenüber. Sie zeigt …
Persistent link: https://www.econbiz.de/10013517112
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Credit Default Swaps und Informationsgehalt
Wagner, Eva - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003722063
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The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Brigo, Damiano; Cousot, Laurent - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 315-339
Persistent link: https://www.econbiz.de/10003344290
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Accounting-based versus market-based cross-sectional models of CDS spreads
Das, Sanjiv R.; Hanouna, Paul; Sarin, Atulya - In: Journal of banking & finance 33 (2009) 4, pp. 719-730
Persistent link: https://www.econbiz.de/10003820945
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Advances in the pricing of collateralized debt obligations
Brommundt, Bernd Michael - 2009
Persistent link: https://www.econbiz.de/10003884149
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Credit default swap valuation with counterparty risk
Seng Yuen Leung; Kwok, Yue-Kuen - In: The Kyoto economic review 74 (2005) 1, pp. 25-45
Persistent link: https://www.econbiz.de/10003379594
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Counterparty risk for credit default swaps : impact of spread volatility and default correlation
Brigo, Damiano; Chourdakis, Kyriakos - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1007-1026
Persistent link: https://www.econbiz.de/10003928780