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Can structural models price default risk? : evidence from bond and credit derivative markets
Ericsson, Jan; Reneby, Joel; Wang, Hao - In: The quarterly journal of finance 5 (2015) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10011381483
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Spread risk premia in corporate credit default swap markets
Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and capital markets : Kredit und Kapital 47 (2014) 4, pp. 571-610
Persistent link: https://www.econbiz.de/10010477424
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Is Thailand's credit default swap market linked to bond and stock markets? : evidence from the term structure of credit spreads
Boonlert Jitmaneeroj - In: Research in international business and finance 46 (2018), pp. 324-341
Persistent link: https://www.econbiz.de/10011983668
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Accounting transparency and the term structure of credit default swap spreads
Bajlum, Claus (contributor); Tind Larsen, Peter (contributor) - 2007
Persistent link: https://www.econbiz.de/10003538822
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The effect of liqudity on the price discovery process in credit derivatives markets in time of financial distress
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: The European journal of finance 17 (2011) 9/10, pp. 851-881
Persistent link: https://www.econbiz.de/10009529136
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Credit default swap spreads, fair-value spreads and interest rate dynamics
Yeh, Andy Jia-yuh - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 53-129
Persistent link: https://www.econbiz.de/10009700464
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A multivariate default model with spread and event risk
Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; … - In: Applied mathematical finance 21 (2014) 1/2, pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
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Trading strategies with implied forward credit default swap spreads
Leccadito, Arturo; Tunaru, Radu; Urga, Giovanni - In: Journal of banking & finance 58 (2015), pp. 361-375
Persistent link: https://www.econbiz.de/10011544021
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Market and model credit default swap spreads : mind the gap!
Bedendo, Mascia; Cathcart, Lara; Jahel, Lina el - In: European financial management : the journal of the … 17 (2011) 4, pp. 655-678
Persistent link: https://www.econbiz.de/10009388310