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A Tree implementation of a credit spread model for credit derivatives
Schönbucher, Philipp J. - In: The journal of computational finance 6 (2002) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10001740884
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Pricing credit derivatives in credit classes frameworks
Moraux, Franck; Navatte, Patrick - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 339-352). 2002
Persistent link: https://www.econbiz.de/10001679457
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Can an equity structure dominate the risk-return profile of corporate bonds?
Nouvellon, Edouard; Pirotte, Hugues - In: The journal of asset management : a major new, … 22 (2021) 4, pp. 277-290
Persistent link: https://www.econbiz.de/10012581627
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Credit valuation adjustment compression by genetic optimization
Chataigner, Marc; Crépey, Stéphane - In: Risks : open access journal 7 (2019) 4/100, pp. 1-21
cost of counterparty risk and of its capital and funding implications. XVAs represent a switch of paradigm in derivative …
Persistent link: https://www.econbiz.de/10012128035
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Derivatives pricing under bilateral counterparty risk
Carr, Peter; Ghamami, Samim - In: Journal of risk 20 (2017/2018) 1, pp. 77-107
Persistent link: https://www.econbiz.de/10011847436
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Information in CDS spreads
Norden, Lars - In: Journal of banking & finance 75 (2017), pp. 118-135
Persistent link: https://www.econbiz.de/10011742156
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A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra; Vázquez, Carlos - In: The journal of computational finance 24 (2020) 3, pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
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Credit Default Swaps und Informationsgehalt
Wagner, Eva - 2008
Kredit und Kreditrisiko -- Kreditderivate -- Der Credit Default Swap (CDS) -- Externes Rating, CDS und Informationseffi … anderer etablierter Märkte, auf denen das Kreditrisiko relevant ist, sowie dem des externen Rating gegenüber. Sie zeigt …
Persistent link: https://www.econbiz.de/10013517112
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Credit Default Swaps und Informationsgehalt
Wagner, Eva - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003722063
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Moody’s and S&P Ratings : Are They Equivalent? Conservative Ratings and Split Rated Bond Yields
Livingston, Miles - 2019
We examine the relative impact of Moody's and S&P ratings on bond yields and find that at issuance, yields on split rated bonds with superior Moody's ratings are about 8 basis points lower than yields on split rated bonds with superior S&P ratings. This suggests that investors differentiate...
Persistent link: https://www.econbiz.de/10012869920