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Revisiting structural modeling of credit risk : evidence from the credit default swap (CDS) market
Huang, Zhijian; Luo, Yuchen - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-20
The ground-breaking Black-Scholes-Merton model has brought about a generation of derivative pricing models that have been successfully applied in the financial industry. It has been a long standing puzzle that the structural models of credit risk, as an application of the same modeling paradigm,...
Persistent link: https://www.econbiz.de/10011543979
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Counterparty risk for CDS : default clustering effects
Bo, Lijun; Capponi, Agostino - In: Journal of banking & finance 52 (2015), pp. 29-42
Persistent link: https://www.econbiz.de/10011377294
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An implied volatility model determined by credit default swaps
Heider, Pascal - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
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Do correlated defaults matter for CDS premia?
Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224
Persistent link: https://www.econbiz.de/10011477301
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Credit default swaps as indicators of bank financial distress
Avino, Davide E.; Conlon, Thomas; Cotter, John - In: Journal of international money and finance 94 (2019), pp. 132-139
Persistent link: https://www.econbiz.de/10012135149
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Resilience of United Kingdom financial institutions to major uncertainty : a network analysis related to the Credit Default Swaps market
Chabot, Miia; Bertrand, Jean-Louis; Thorez, Eric - In: Journal of business research : JBR 101 (2019), pp. 70-82
Persistent link: https://www.econbiz.de/10012103214
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Multi-currency credit default swaps
Brigo, Damiano; Pede, Nicola; Petrelli, Andrea - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10012030890
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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
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The leverage externalities of credit default swaps
Li, Jay Yin; Tang, Dragon Yongjun - In: Journal of financial economics 120 (2016) 3, pp. 491-513
Persistent link: https://www.econbiz.de/10011590235
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Are all credit default swap databases equal?
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: European financial management : the journal of the … 20 (2014) 4, pp. 677-713
Persistent link: https://www.econbiz.de/10010503546