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How Well Do Classical Credit Risk Pricing Models Fit Swap Transaction Data?
Cossin, Didier - 2001
Currency and interest rate swaps are subject to a complex, two sided default risk. Several theoretical papers have recently addressed the problem of pricing this swap credit risk. We implement a recent credit risk pricing model in order to attempt to evaluate one of the main lines of research in...
Persistent link: https://www.econbiz.de/10012788418
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How well do classical credit risk pricing models fit swap transaction data?
Cossin, Didier; Pirotte, Hugues - 1996
Persistent link: https://www.econbiz.de/10004371502
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Swap credit risk: An empirical investigation on transaction data
Cossin, Didier; Pirotte, Hugues - In: Journal of banking & finance 21 (1997) 10, pp. 1351-1374
Persistent link: https://www.econbiz.de/10005903827
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How Well do Classical Credit Risk Pricing Models Fit Swap Transaction Data?
Cossin, Didier; Pirotte, Hugues - In: European financial management : the journal of the … 4 (1998) 1, pp. 65-78
Persistent link: https://www.econbiz.de/10005971570
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Market liquidity as dynamic factors
Hallin, Marc; Mathias, Charles; Pirotte, Hugues; … - In: Journal of econometrics 163 (2011) 1, pp. 42-51
Persistent link: https://www.econbiz.de/10009017644
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Beyond mean-variance : assessing hedge fund performance in a non-parametric world
Hassouni, Afrae; Pirotte, Hugues - In: Financial markets and portfolio management 36 (2022) 4, pp. 473-488
Persistent link: https://www.econbiz.de/10013431703
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Understanding the patenting behavior of firms
Peeters, Carine; van Pottelsberghe de la Potterie, Bruno - Solvay Brussels School of Economics and Management, … - 2006
Persistent link: https://www.econbiz.de/10010598022
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Conclusion
De Henau, Jérôme; Meulders, Danièle; O'Dorchai, Sile - Solvay Brussels School of Economics and Management, … - 2006
Persistent link: https://www.econbiz.de/10010599732
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Flexible working time arrangements and gender equality: A comparative review of 30 European countries
Meulders, Danièle; O'Dorchai, Sile; Plantenga, Janneke; … - Solvay Brussels School of Economics and Management, … - 2010
Persistent link: https://www.econbiz.de/10010599733
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Do women gain or lose from becoming mothers? A comparative wage analysis in 20 European countries
O'Dorchai, Sile - Solvay Brussels School of Economics and Management, … - 2008
Persistent link: https://www.econbiz.de/10010599734