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Search: subject_exact:"CDS (Credit Default Swap)"
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30
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International journal of theoretical and applied finance
Journal of banking & finance
65
The journal of structured finance
51
The journal of fixed income
40
International review of financial analysis
37
Journal of financial stability
33
Journal of international financial markets, institutions & money
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Finance research letters
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NBER working paper series
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ECONIS (ZBW)
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1
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
Saved in:
2
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
3
Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012270908
Saved in:
4
Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong
;
Huang, Wen-Li
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
Saved in:
5
New model for pricing quanto credit default swaps
Itkin, A.
;
Shcherbakov, V.
;
Veygman, A.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012019847
Saved in:
6
Multi-currency credit default swaps
Brigo, Damiano
;
Pede, Nicola
;
Petrelli, Andrea
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012030890
Saved in:
7
Pricing-hedging duality for credit default swaps and the negative basis arbitrage
Mai, Jan-Frederik
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012153067
Saved in:
8
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
Saved in:
9
Pricing sovereign contingent convertible debt
Consiglio, Andrea
;
Tumminello, Michele
;
Zenios, Stauros …
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011970916
Saved in:
10
Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
Saved in:
11
CoCo bonds pricing with credit and equity calibrated first-passage firm value models
Brigo, Damiano
;
Garcia, João
;
Pede, Nicola
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403242
Saved in:
12
Contagion effects and collateralized credit value adjustments for credit default swaps
Frey, Rüdiger
;
Rösler, Lars
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010498864
Saved in:
13
A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan
;
Peacock, Matthew
;
Lee, Jacky
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
Saved in:
14
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Saved in:
15
Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin
;
Kassberger, Stefan
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
Saved in:
16
Credit derivatives pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
Saved in:
17
Pricing credit derivatives in a Markov-modulated reduced-form model
Banerjee, Tamal
;
Ghosh, Mrinal K.
;
Iyer, Srikanth K.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-43
Persistent link: https://www.econbiz.de/10009779788
Saved in:
18
Informationally dynamized Gaussian copula
Crépey, S.
;
Jeanblanc, Monique
;
Wu, Dong Li
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748717
Saved in:
19
A note on the double impact on CVA for CDS : wrong-way risk with stochastic recovery
Li, Hui
- In:
International journal of theoretical and applied finance
16
(
2013
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10009756066
Saved in:
20
Numerical procedures for a wrong way risk model with lognormal Hazard rates and Gaussian interest rates
Ng, Leslie
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-33
Persistent link: https://www.econbiz.de/10010243617
Saved in:
21
An implied volatility model determined by credit default swaps
Heider, Pascal
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
Saved in:
22
Modelling the bid and ask prices of illiquid CDSs
Walker, Michael B.
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009672590
Saved in:
23
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
24
Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
Diener, Nicolas
;
Jarrow, Robert A.
;
Protter, Philip E.
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10009624528
Saved in:
25
Risk premia and optimal liquidation of credit derivatives
Leung, Tim
;
Liu, Peng
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-34
Persistent link: https://www.econbiz.de/10009707094
Saved in:
26
Counterparty risk for Credit Default Swap with states related default intensity processes
Tang, Dan
;
Wang, Yongjin
;
Zhou, Yuzhen
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1335-1353
Persistent link: https://www.econbiz.de/10009541993
Saved in:
27
Counterparty risk for credit default swaps : impact of spread volatility and default correlation
Brigo, Damiano
;
Chourdakis, Kyriakos
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1007-1026
Persistent link: https://www.econbiz.de/10003928780
Saved in:
28
Valuation of credit default swaptions and credit default index swaptions
Rutkowski, Marek
;
Armstrong, Anthony
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1027-1053
Persistent link: https://www.econbiz.de/10003928782
Saved in:
29
The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Brigo, Damiano
;
Cousot, Laurent
- In:
International journal of theoretical and applied finance
9
(
2006
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10003344290
Saved in:
30
The determinants of credit default swap rates : an explanatory study
Abid, Fathi
;
Naifar, Nader
- In:
International journal of theoretical and applied finance
9
(
2006
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10003285866
Saved in:
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