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A measure of Turkey's sovereign and banking sector credit risk : asset swap spreads
Kazdal, Abdullah; Korkmaz, Halil İbrahim; … - 2020
Persistent link: https://www.econbiz.de/10012939794
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Haircuts; Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005
Zettelmeyer, Jeromin; Sturzenegger, Federico - International Monetary Fund (IMF) - 2005
This paper estimates bond-by-bond "haircuts"-realized investor losses-in recent debt restructurings in Russia, Ukraine, Pakistan, Ecuador, Argentina, and Uruguay. We consider both external and domestic retructurings. Haircuts are computed as the percentage difference between the present values...
Persistent link: https://www.econbiz.de/10005825806
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An intertemporal interest rate market model : complete markets
Sandmann, Klaus - 1988
Persistent link: https://www.econbiz.de/10000125430
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An econometric model of the term structure of interest rate swap yields
Duffie, Darrell; Singleton, Kenneth J. - 1995
Persistent link: https://www.econbiz.de/10000904139
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Closed form solutions for term structure derivatives with log-normal interest rates
Miltersen, Kristian R.; Sandmann, Klaus; Sondermann, Dieter - 1995
Persistent link: https://www.econbiz.de/10000908299
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Path dependent options on yields in the affine term structure model
Leblanc, Boris; Scaillet, Olivier - 1995
Persistent link: https://www.econbiz.de/10000910562
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On the stability of lognormal interest rate models
Sandmann, Klaus - 1993
Persistent link: https://www.econbiz.de/10000880242
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An empirical analysis of the pricing of interest rate caps
Jegadeesh, Narasimhan - 1994
Persistent link: https://www.econbiz.de/10000885251
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Bewertung und empirische Analyse von Schuldnerkündigungsrechten
Schulze, Michael - 1996
Persistent link: https://www.econbiz.de/10000935922