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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

Valuation of a basket loan credit default swap

Liang, Jin; Zhou, Yujing - In: International journal of financial research 1 (2010) 1, pp. 21-29

Persistent link: https://www.econbiz.de/10009305958

Counterparty risk for CDS : default clustering effects

Bo, Lijun; Capponi, Agostino - In: Journal of banking & finance 52 (2015), pp. 29-42

Persistent link: https://www.econbiz.de/10011377294

Determinants of credit default swaps spreads in European and Asian markets

Hassan, M. Kabir; Ngow, Thiti S.; Yu, Jung-suk; Hassan, … - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 295-310

Persistent link: https://www.econbiz.de/10010259397

Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...