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Investigating the dependence structure between credit default swap spreads and the U.S. financial market
Gatfaoui, Hayette, (2010)
The pricing of correlated default risk : evidence from the credit derivatives market
Tarashev, Nikola A., (2008)
Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market
Kim, Jungmu, (2020)
Une histoire du risque de défaut
Gatfaoui, Hayette, (2008)
Idiosyncratic risk, systematic risk and stochastic volatility : an implementation of Merton's credit risk valuation
Gatfaoui, Hayette, (2004)