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A three-factor hazard rate model for single-name credit default swap pricing

Zhong, Yangfan; Mi, Yanhui - In: The journal of credit risk : published quarterly by … 18 (2022) 2, pp. 27-63

Persistent link: https://www.econbiz.de/10014546386

A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface

Da Fonseca, José; Gottschalk, Katrin - 2023

This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface. The rapid development of the CDS market has provided convenient products to extract credit risk, and its interaction with equity volatility has been analyzed in...

Persistent link: https://www.econbiz.de/10014254192

Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

Options on Interest Rates -- 18 Elements of Stochastic Calculus -- 19 *The Mathematical Framework of Financial Markets Theory … -- 20 The State Variables Model and the Valuation Partial Differential Equation -- Part 3 Portfolio Theory and Portfolio … Asset Pricing Model -- 23 Arbitrage Pricing Theory and Multi-Factor Models -- 24 Strategic Portfolio Allocation -- 25 …

Persistent link: https://www.econbiz.de/10013441427

Sovereign credit default swaps and the currency forward bias

Calice, Giovanni; Lin, Ming-Tsung - In: Journal of international financial markets, … 86 (2023), pp. 1-25

Persistent link: https://www.econbiz.de/10014433385

From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations

Michielon, Matteo; Khedher, Asma; Spreij, Peter - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10012652634

Essays on the market structure and pricing of credit derivatives

Junge, Benjamin - 2016

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-thecounter markets in which trading is segmented and subject to many imperfections from which illiquidity may...

Persistent link: https://www.econbiz.de/10011903108

A dynamic model of central counterparty risk

Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-34

Persistent link: https://www.econbiz.de/10011970904

Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula

Harb, Etienne; Louhichi, Wael - In: Research in international business and finance 39 (2017), pp. 963-975

Persistent link: https://www.econbiz.de/10011912420

Dong, Yinghui; Wang, Guojing; Yuen, Kam Chuen - In: IMA journal of management mathematics 29 (2018) 4, pp. 351-375

Persistent link: https://www.econbiz.de/10011974883

Sovereign bond spreads and credit default swap premia : cointegration and causality

Martín García, Margarita; Téllez, Cecilia; Martín … - In: Investment management and financial innovations 11 (2014) 2, pp. 47-59

Persistent link: https://www.econbiz.de/10010392834