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CPDOs : AAA or HY?
Chuyan, Roman - In: The journal of structured finance 13 (2007/08) 3, pp. 81-88
Persistent link: https://www.econbiz.de/10003862375
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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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An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil
Di Cesare, Antonio; Guazzarotti, Giovanni - In: Finance and banking developments, (pp. 233-265). 2010
Persistent link: https://www.econbiz.de/10008860426
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An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil
Di Cesare, Antonio; Guazzarotti, Giovanni - 2010
Persistent link: https://www.econbiz.de/10008732222
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An extended structural credit risk model
Realdon, Marco (contributor) - 2007
Persistent link: https://www.econbiz.de/10003564820
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Risk premia on credit and equity markets
Berg, Tobias - 2009
Persistent link: https://www.econbiz.de/10003923479
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Market conditions, default risk and credit spreads
Tang, Dragon Yongjun; Yan, Hong - In: Journal of banking & finance 34 (2010) 4, pp. 743-753
Persistent link: https://www.econbiz.de/10003966050
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The role of a changing market environment for credit default swap pricing
Leppin, Julian S.; Reitz, Stefan - 2014
This paper investigates the impact of a changing market environment on the pricing of CDS spreads written on debt from EURO STOXX 50 firms. A Panel Smooth Transition Regression reveals that parameter estimates of standard CDS fundamentals are time-varying depending on current values of a set of...
Persistent link: https://www.econbiz.de/10010384174
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The role of a changing market : environment for credit default swap pricing
Leppin, Julian S.; Reitz, Stefan - 2014 - This version: July 2014
This paper investigates the impact of a changing market environment on the pricing of CDS spreads written on debt from EURO STOXX 50 firms. A Panel Smooth Transition Regression reveals that parameter estimates of standard CDS fundamentals are time-varying depending on current values of a set of...
Persistent link: https://www.econbiz.de/10010384565
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The role of a changing market environment for credit default swap pricing
Leppin, Julian Sebastian; Reitz, Stefan - In: International journal of finance & economics : IJFE 21 (2016) 3, pp. 209-223
Persistent link: https://www.econbiz.de/10011560274