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Credit default swaps and equity prices : the iTraxx CDS index market
Byström, Hans - In: Credit risk : models, derivatives, and management, (pp. 69-83). 2008
Persistent link: https://www.econbiz.de/10003718323
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Pricing CDX credit default swaps using the Hull-White model
Hofberger, Bastian; Wagner, Niklas - In: Credit risk : models, derivatives, and management, (pp. 197-208). 2008
Persistent link: https://www.econbiz.de/10003718475
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Is jump risk in iTraxx sector indices diversifiable?
Bhar, Ramaprasad; Wang, Peipei - In: The journal of fixed income 17 (2007) 4, pp. 42-56
Persistent link: https://www.econbiz.de/10003729810
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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 valuation
Chen, Ren-Raw; Fabozzi, Frank J.; O'Kane, Dominic - 2008
Persistent link: https://www.econbiz.de/10003765787
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Essays in term structure and credit spread models
Fan, Rong - 2002
Persistent link: https://www.econbiz.de/10003776097
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The comovement of credit default swap, bond and stock markets : an empirical analysis
Norden, Lars (contributor); Weber, Martin (contributor) - 2004
Persistent link: https://www.econbiz.de/10002685021
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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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An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps
Blanco, Roberto; Brennan, Simon; Marsh, Ian - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2255-2282
Persistent link: https://www.econbiz.de/10003159335
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Understanding the risk of synthetic CDOs
Gibson, Michael S. - 2004
Persistent link: https://www.econbiz.de/10002117790