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Asset allocation with credit instruments

Menzinger, Barbara; Schlösser, Anna; Zagst, Rudi - In: Alternative investments and strategies : credit, …, (pp. 147-173). 2010

Persistent link: https://www.econbiz.de/10008655204

Market and model credit default swap spreads : mind the gap!

Bedendo, Mascia; Cathcart, Lara; Jahel, Lina el - In: European financial management : the journal of the … 17 (2011) 4, pp. 655-678

Persistent link: https://www.econbiz.de/10009388310

The behavior of interest rates implied by the term structure of Eurodollar futures

Jegadeesh, Narasimhan - In: Journal of money, credit and banking : JMCB 28 (1996) 3, pp. 426-446

Persistent link: https://www.econbiz.de/10001334601

The pricing of correlated default risk : evidence from the credit derivatives market

Tarashev, Nikola A. (contributor); Zhu, Haibin (contributor) - 2008

order to analyze the pricing of portfolio credit risk as revealed by tranche spreads of a popular credit default swap (CDS) index we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall level of...