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A Libor market model with default risk
Schönbucher, Philipp J. - 2001
Persistent link: https://www.econbiz.de/10001598736
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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - 2014
needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …
Persistent link: https://www.econbiz.de/10010358352
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Pricing credit default swap under fractional Vasicek interest rate model
Hao, Ruili; Liu, Yonghui; Wang, Shoubai - In: Journal of mathematical finance 4 (2014) 1, pp. 10-20
Persistent link: https://www.econbiz.de/10010422093
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What determines the yen swap spread?
Azad, A. S. M. Sohel; Batten, Jonathan A.; Fang, Victor - In: International review of financial analysis 40 (2015), pp. 1-13
Persistent link: https://www.econbiz.de/10011475583
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A general framework for the benchmark pricing in a fully collateralized market
Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10011587747
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Breakdown of covered interest parity : mystery or myth?
Wong, Alfred Y.; Zhang, Jiayue - 2018
that the swap dealer behaves as if he tries to align the risks of the transactions in pricing CCBSs, which causes CIP to …
Persistent link: https://www.econbiz.de/10011791979
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Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
Longstaff, Francis A. - 2004
We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the...
Persistent link: https://www.econbiz.de/10012468275
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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice; Portait, Roland; Toder, Igor - 2022
Persistent link: https://www.econbiz.de/10012628654
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Breakdown of covered interest parity : mystery or myth?
Wong, Alfred Y.; Zhang, Jiayue - 2017
Persistent link: https://www.econbiz.de/10012201638