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A note on credit spread forwards

Hertrich, Markus - In: Journal of advanced studies in finance : JASF 7 (2016) 1/13, pp. 77-78

Persistent link: https://www.econbiz.de/10011720963

Risk-adjusted covered interest parity : theory and evidence

Wong, Alfred Y.; Leung, David; Ng, Calvin - 2016

Persistent link: https://www.econbiz.de/10012200964

Pricing catastrophe swaps with default risk and stochastic interest rates

Lo, Chien-Ling; Chang, Carolyn C. W.; Lee, Jin-Ping; … - In: Pacific-Basin finance journal 68 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013332712

Default Risk in Bond and Credit Derivatives Markets

Benkert, Christoph - 2004

Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising...

Persistent link: https://www.econbiz.de/10013519782

Term structure of credit default swap liquidity premiums

Leal, Diego; Stanhouse, Bryan E. - In: The journal of derivatives : JOD 30 (2023) 4, pp. 47-73

Persistent link: https://www.econbiz.de/10014306869

Demand-and-supply imbalance risk and long-term swap spreads

Hanson, Samuel G.; Malkhozov, Aytek; Venter, Gyuri - In: Journal of financial economics 154 (2024), pp. 1-25

Persistent link: https://www.econbiz.de/10015072199

Essays in term structure and credit spread models

Fan, Rong - 2002

Persistent link: https://www.econbiz.de/10003776097

Credit risk and credit derivatives : special issue

Brenner, Menachem (contributor); … - 1998

Persistent link: https://www.econbiz.de/10001497906

Valuation of a credit default swap: the stable non-Gaussian versus the Gaussian approach

D'Souza, Dylan; Amir-Atefi, Keyvan; Racheva-Jotova, Borjana - In: Credit risk : measurement, evaluation and management ; …, (pp. 49-84). 2003

Persistent link: https://www.econbiz.de/10002001435

A Three-factor defaultable term structure model

Schmid, Bernd; Zagst, Rudi - In: The journal of fixed income 10 (2000) 2, pp. 63-79

Persistent link: https://www.econbiz.de/10001530347

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