Narrow search
Showing 1 - 10 of 60
Cover Image
Explaining the on-the-run puzzle with corporate bonds
Anderson, Anthony Jerome; Long, Michael Stuart - In: Review of Pacific Basin financial markets and policies 20 (2017) 2, pp. 1-36
Persistent link: https://www.econbiz.de/10011744090
Cover Image
Valuing risky debt : a new model combining structural information with the reduced-form approach
Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Insurance / Mathematics & economics 55 (2014), pp. 261-271
Persistent link: https://www.econbiz.de/10010366168
Cover Image
Assessing mortgage servicing rights using a reduced-form model : considering the effects of interest rate risks, prepayment and default risks, and random state variables
Chiang, Shu Ling; Yang, Tyler; Tsai, Ming-shann - In: Journal of housing economics 32 (2016), pp. 29-46
Persistent link: https://www.econbiz.de/10011631690
Cover Image
Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities
Li, Haitao; Wu, Chunchi; Shi, Jian - In: China finance review international 7 (2017) 2, pp. 134-162
Persistent link: https://www.econbiz.de/10011797776
Cover Image
A three-factor hazard rate model for single-name credit default swap pricing
Zhong, Yangfan; Mi, Yanhui - In: The journal of credit risk : published quarterly by … 18 (2022) 2, pp. 27-63
Persistent link: https://www.econbiz.de/10014546386
Cover Image
How did the financial crisis alter the correlations of US yield spreads?
Contessi, Silvio; De Pace, Pierangelo; Guidolin, Massimo - In: Journal of empirical finance 28 (2014), pp. 362-385
Persistent link: https://www.econbiz.de/10011285619
Cover Image
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang; Schlögl, Erik - 2014
Persistent link: https://www.econbiz.de/10011344803
Cover Image
The interbank market after the financial turmoil : squeezing liquidity in a "lemons market" or asking liquidity "on tap"
De Socio, Antonio - In: Journal of banking & finance 37 (2013) 5, pp. 1340-1358
Persistent link: https://www.econbiz.de/10009729113
Cover Image
A yield spread perspective on the great financial crisis : break-point test evidence
Guidolin, Massimo; Tam, Yu Man - In: International review of financial analysis 26 (2013), pp. 18-39
Persistent link: https://www.econbiz.de/10009717229
Cover Image
Liquidity risk and the term structure of interest rates
Jarrow, Robert A.; Roch, Alexandre F. - In: Mathematics and financial economics 9 (2015) 1, pp. 57-83
Persistent link: https://www.econbiz.de/10010500696