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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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Has the credit default swap market lowered the cost of corporate debt?
Ashcraft, Adam B. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003522710
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Kreditderivate im Fokus : Credit-Default-Swap-Markt versus Anleihemarkt
Wagner, Eva - In: CFO aktuell : Zeitschrift für Finance & Controlling 1 (2007) 5, pp. 203-206
Persistent link: https://www.econbiz.de/10003562145
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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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A two factor Black-Karasinski sovereign credit default swap pricing model
Realdon, Marco (contributor) - 2007
Persistent link: https://www.econbiz.de/10003535823
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Assessment of classroom learning of the alphabet soup : CDO, CDS, MBS, IFRS, SPE and Basel II
Jaiswal-Dale, Ameeta; Lundsten, Lorman L. - In: Journal of the Academy of Business Education : JABE 11 (2010) 1, pp. 126-135
Persistent link: https://www.econbiz.de/10003980975
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Determinanten von Banken-Spreads während der Finanzmarktkrise
Heidorn, Thomas; Birkmeyer, Jörg; Rogalski, André - 2010
Welche Einflussfaktoren bestimmen die Spreadentwicklung im Kapitalmarktsegment der Banken im Verlauf der Finanzkrise? Unter Verwendung der Regressionsanalyse werden die Determinanten von Asset-Swap- (ASW) und Credit-Default-Swap- (CDS) Spreads ausgewählter europäischer Banken im Zeitraum April...
Persistent link: https://www.econbiz.de/10003981932