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Credit default swaps in general equilibrium : spillovers, credit spreads, and endogenous default
Darst, R. Matthew; Refayet, Ehraz - 2016
Persistent link: https://www.econbiz.de/10011500390
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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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Do CDS spreads move with commonality in liquidity?
Meine, Christian; Supper, Hendrik; Weiß, Gregor - In: Review of derivatives research 18 (2015) 3, pp. 225-261
Persistent link: https://www.econbiz.de/10011477302
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Inflation, bankruptcy, default premia and the stock market
Wadhwani, Sushil B. - 1984
Persistent link: https://www.econbiz.de/10002951845
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Pricing counterparty default risks : applications to FRNs and vulnerable options
Kang, Jangkoo; Kim, Hwa-sung - In: International review of financial analysis 14 (2005) 3, pp. 376-392
Persistent link: https://www.econbiz.de/10002960575
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Performance evaluation for credit spread and default risk models
Sobehart, Jorge R.; Keenan, Sean C. - In: Credit risk models and management, (pp. 275-305). 2004
Persistent link: https://www.econbiz.de/10002432544
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A fiscal theory of sovereign risk
Uribe, Martín - 2002
Persistent link: https://www.econbiz.de/10001700611
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Put option premiums and coherent risk measures
Jarrow, Robert A. - In: Mathematical finance : an international journal of … 12 (2002) 2, pp. 135-142
Persistent link: https://www.econbiz.de/10001686241
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Model uncertainty and liquidity
Routledge, Bryan R.; Zin, Stanley E. - 2001
Persistent link: https://www.econbiz.de/10001637614
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Correlated defaults, incomplete information, and the term structure of credit spreads
Giesecke, Kay (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001639703