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Correlated defaults in intensity-based models
Yu, Fan - In: Mathematical finance : an international journal of … 17 (2007) 2, pp. 155-173
Persistent link: https://www.econbiz.de/10003543117
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Corporate yield spreads : default tisk or liquidity? : New evidence from the credit default swap market
Longstaff, Francis A.; Mithal, Sanjay; Neiss, Eric - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2213-2254
Persistent link: https://www.econbiz.de/10003159306
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Recovery swaps
Berd, Arthur M. - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. [61]-70
Persistent link: https://www.econbiz.de/10003198826
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Credit default swaptions
Tucker, Alan L.; Wei, Jason - In: The journal of fixed income 15 (2005) 1, pp. 88-95
Persistent link: https://www.econbiz.de/10003018930
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Nth to default swaps and notes: all about default correlation
Lucas, Douglas; Thomas, Alberto - In: Credit derivatives : the definitive guide, (pp. 97-112). 2004
Persistent link: https://www.econbiz.de/10002798830
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A spread-based model for the valuation of credit derivatives with correlated defaults and counter-party risks
Chang, Chuang-chang; Yu, Jih-Chieh - In: Research in finance 23 (2006), pp. 193-220
Persistent link: https://www.econbiz.de/10003753454
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Credit Default Swaps : theory and empirical evidence
Lei Meng; Ap Gwilym, Owain - In: The journal of fixed income 14 (2005) 4, pp. 17-28
Persistent link: https://www.econbiz.de/10002836079
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Enhancing credit performance with market-implied credit measures and default swaps
Backshall, Tim - In: Credit risk models and management, (pp. 543-572). 2004
Persistent link: https://www.econbiz.de/10002433447
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Credit default swaps and corporate ESG performance
Zhao, Ran; Zhu, Lu - In: Journal of banking and finance 159 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014452086
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Performance Persistence of Credit Default Swaptions. Evidence From the USD Default Swaptions Derivative Market
Guirguis, Michel - 2023
quite high as there are large fluctuations of average returns of credit derivatives swap contracts. The results are mixed … and Moody’s corporation that acquired KMV corporation in 2002. It includes credit derivatives swap contracts, expected …
Persistent link: https://www.econbiz.de/10014354699