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The use (and abuse) of CDS spr...
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Theorie
Kreditderivat
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Shan, Chenyu
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Benzoni, Luca
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Bolton, Patrick
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Duffie, Darrell
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Lee, Jongsub
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International journal of theoretical and applied finance
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The journal of credit risk : published quarterly by Incisive Media
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Journal of banking & finance
15
The journal of fixed income
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Discussion paper / Centre for Economic Policy Research
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NBER Working Paper
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Review of finance : journal of the European Finance Association
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The North American journal of economics and finance : a journal of financial economics studies
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1
Credit Default Swaps
Spörk, Wolfgang
- In:
Das Wirtschaftsstudium : wisu ; Zeitschrift für …
37
(
2008
)
10
,
pp. 1319
Persistent link: https://www.econbiz.de/10003768773
Saved in:
2
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
Saved in:
3
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
Saved in:
4
Pricing constant-maturity credit default swaps under jum dynamics
Jönsson, Henrik
;
Schoutens, Wim
- In:
The journal of credit risk : published quarterly by …
5
(
2009/10
)
1
,
pp. 75-95
Persistent link: https://www.econbiz.de/10003853300
Saved in:
5
Advances in the pricing of collateralized debt obligations
Brommundt, Bernd Michael
-
2009
Persistent link: https://www.econbiz.de/10003884149
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6
Implied recovery
Das, Sanjiv R.
;
Hanouna, Paul
- In:
Journal of economic dynamics & control
33
(
2009
)
11
,
pp. 1837-1857
Persistent link: https://www.econbiz.de/10003888561
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
Valuation of credit default swaptions and credit default index swaptions
Rutkowski, Marek
;
Armstrong, Anthony
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1027-1053
Persistent link: https://www.econbiz.de/10003928782
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