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Default contagion among credit modalities : evidence from Brazilian data

Alexandre, Michel; Brito, Giovani A. S.; Martins, Theo C. - In: The journal of credit risk : published quarterly by … 14 (2018) 3, pp. 31-48

Persistent link: https://www.econbiz.de/10011962386

Credit derivative valuation and parameter estimation for multi-factor affine CIR-type hazard rate model

Maboulou, Alma P. Bimbabou; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 3, pp. 273-285

Persistent link: https://www.econbiz.de/10011438513

The reward for trading illiquid maturities in credit default swap markets

Arakelyan, Armen; Rubio, Gonzalo; Serrano, Pedro - In: International review of economics & finance : IREF 39 (2015), pp. 376-389

Persistent link: https://www.econbiz.de/10011572470

An exact structural model for evaluating credit default swaps : theory and empirical evidence

Chen, Ren-Raw; Hsieh, Pei-Lin - In: The journal of fixed income : JFI 32 (2023) 3, pp. 20-48

Persistent link: https://www.econbiz.de/10014231375

Credit default swaps and market information

Osano, Hiroshi - In: Journal of financial markets 48 (2020), pp. 1-23

Persistent link: https://www.econbiz.de/10012631817

Bank loan renegotiation and credit default swaps

Clark, Brian; Donato, James; Francis, Bill B.; Shohfi, … - In: Journal of banking & finance 151 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014463074

Financial decisions involving credit default swaps over the business cycle

Gan, Liu; Yang, Zhaojun - In: Journal of economic dynamics & control 161 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015050037

A Spread-Based Model for the Valuation of Credit Derivatives with Correlated Defaults and Counter-Party Risks

Chang, Chuang-chang; Jih-Chieh, Yu - In: Research in finance, (pp. 193-220). 2006

We set out, in this paper, to extend the Das and Sundaram (2000) model as a means of simultaneously considering correlated default risk structure and counter-party risk. The multinomial model established by Kamrad and Ritchken (1991) is subsequently modified in order to facilitate the...

Persistent link: https://www.econbiz.de/10015385710

The role of social media in the corporate bond market : evidence from Twitter

Bartov, Eli; Faurel, Lucile; Mohanram, Partha - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5638-5667

Persistent link: https://www.econbiz.de/10014392963

Credit default swaps and debt overhang

Wong, Tak-Yuen; Yu, Jin - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2069-2097

Persistent link: https://www.econbiz.de/10013262912