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Sources of credit risk : evidence from credit default swaps
Chen, Ren-Raw; Fabozzi, Frank J.; Pan, Ging-Ging; … - In: The journal of fixed income 16 (2006) 3, pp. 7-21
Persistent link: https://www.econbiz.de/10003422016
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Corporate credit default swap liquidity and its implications for corporate bond spreads
Chen, Ren-Raw; Fabozzi, Frank J.; Sverdlove, Ronald - In: The journal of fixed income 20 (2010/11) 2, pp. 31-57
Persistent link: https://www.econbiz.de/10008667946
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Tests of the performance of structural models in bankruptcy prediction
Fabozzi, Frank J.; Chen, Ren-Raw; Hu, Shing-yang; Pan, … - In: The journal of credit risk : published quarterly by … 6 (2010/11) 2, pp. 37-78
Persistent link: https://www.econbiz.de/10008647001
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An explicit, multi-factor credit default swap pricing model with correlated factors
Chen, Ren-Raw; Cheng, Xiaolin; Fabozzi, Frank J.; Liu, Bo - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 1, pp. 123-160
Persistent link: https://www.econbiz.de/10003692397
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Market risk of mortgage-backed securities with consistent measures
Chen, Ren-Raw; Liao, Hsien-hsing; Yang, Tyler T. - In: The journal of real estate finance and economics 36 (2008) 1, pp. 121-140
Persistent link: https://www.econbiz.de/10003622062
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Embedded options in treasury bond futures prices : new evidence
Chen, Ren-Raw; Ju, Hann-shing; Yeh, Shih-kuo - In: The journal of fixed income 19 (2009/10) 1, pp. 82-95
Persistent link: https://www.econbiz.de/10003875982
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Non-parametric method for European option bounds
Lin, Hsuan-chu; Chen, Ren-Raw; Palmon, Oded - In: Review of quantitative finance and accounting 38 (2012) 1, pp. 109-129
Persistent link: https://www.econbiz.de/10009507969
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Pricing the term structure of inflation risk premia : theory and evidence from TIPS
Chen, Ren-Raw; Liu, Bo; Cheng, Xiaolin - In: Journal of empirical finance 17 (2010) 4, pp. 702-721
Persistent link: https://www.econbiz.de/10009267256
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The valuation of compound options : a correction and an extension
Chen, Ren-Raw; He, Wei - In: The journal of derivatives : the official publication … 22 (2015) 4, pp. 92-104
Persistent link: https://www.econbiz.de/10011399781
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A closed-form solution to the liquidity discount problem : with an application to the liquidity crisis
Chen, Ren-Raw; Li, Bo - In: The journal of fixed income 25 (2015) 2, pp. 7-24
Persistent link: https://www.econbiz.de/10011399841