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Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery
Dötz, Niko (contributor) - 2007
This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based on companies listed in the iTraxx CDS index and thus on...
Persistent link: https://www.econbiz.de/10003517276
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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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Pricing k-th-to-default swaps ander default contagion : the matrix-analytic approach
Herbertsson, Alexander (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003571927
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Pricing synthetic CDO tranches in a model with default contagion using the matrix-analytic approach
Herbertsson, Alexander (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571937
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Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571939
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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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An empirical study on the decoupling movements between corporate bond and CDS spreads
Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009
Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and …. -- Credit Default Swap Spreads ; Corporate Bond Spreads ; Liquidity …
Persistent link: https://www.econbiz.de/10003963752
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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 Janus-headed salvation : sovereign and bank credit risk premia during 2008 - 2009
Ejsing, Jacob Wellendorph; Lemke, Wolfgang - In: Economics letters 110 (2011) 1, pp. 28-31
Persistent link: https://www.econbiz.de/10009241581
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The network structure of the CDS market and its determinants
Peltonen, Tuomo; Scheicher, Martin; Vuillemey, Guillaume - In: Journal of financial stability 13 (2014), pp. 118-133
Persistent link: https://www.econbiz.de/10011288870