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The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Brigo, Damiano; Cousot, Laurent - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 315-339
Persistent link: https://www.econbiz.de/10003344290
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Sato processes in default modeling
Kokholm, Thomas; Nicolato, Elisa - 2009
Persistent link: https://www.econbiz.de/10003805849
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Are banks different? : evidence form the CDS market
Raunig, Burkhard; Scheicher, Martin - 2009
Persistent link: https://www.econbiz.de/10003810904
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Accounting-based versus market-based cross-sectional models of CDS spreads
Das, Sanjiv R.; Hanouna, Paul; Sarin, Atulya - In: Journal of banking & finance 33 (2009) 4, pp. 719-730
Persistent link: https://www.econbiz.de/10003820945
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A framework assessing the systemic risk of major financial institutions
Huang, Xin; Zhou, Hao; Zhu, Haibin - 2009
Persistent link: https://www.econbiz.de/10003847632
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The determinants of credit default swap premia
Ericsson, Jan; Jacobs, Kris; Oviedo, Rodolfo - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 1, pp. 109-132
Persistent link: https://www.econbiz.de/10003854347
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Advances in the pricing of collateralized debt obligations
Brommundt, Bernd Michael - 2009
Persistent link: https://www.econbiz.de/10003884149
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Credit spreads : an empirical analysis on the informational content of stocks, bonds, and CDS
Forte, Santiago; Peña Sánchez de Rivera, Juan Ignacio - In: Journal of banking & finance 33 (2009) 11, pp. 2013-2025
Persistent link: https://www.econbiz.de/10003892177
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A framework for assessing the systemic risk of major financial institutions
Huang, Xin; Zhou, Hao; Zhu, Haibin - In: Journal of banking & finance 33 (2009) 11, pp. 2036-2049
Persistent link: https://www.econbiz.de/10003892198
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The impact of earnings on the pricing of credit default swaps
Callen, Jeffrey L.; Livnat, Joshua; Segal, Dan - In: The accounting review : a publication of the American … 84 (2009) 5, pp. 1363-1394
Persistent link: https://www.econbiz.de/10003897652