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Special issue on credit risk and credit derivatives
Webb, Robert I. (contributor) - 2004
Persistent link: https://www.econbiz.de/10001850803
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Copula sensitivity in collateralized debt obligations and basket default swaps
Meneguzzo, Davide; Vecchiato, Walter - In: The journal of futures markets 24 (2004) 1, pp. 37-70
Persistent link: https://www.econbiz.de/10001850813
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Counterparty choice in the UK credit default swap market : an empirical matching approach
Ferrara, Gerardo; Kim, Jun Sung; Koo, Bonsoo; Liu, Zijun - In: Economic modelling 94 (2021), pp. 58-74
Persistent link: https://www.econbiz.de/10012694709
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How do sovereign risk, equity and foreign exchange derivatives markets interact?
Ibhagui, Oyakhilome - In: Economic modelling 97 (2021), pp. 58-78
Persistent link: https://www.econbiz.de/10012793299
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The man in the middle-liquidity provision under central clearing in the credit default swap market : a regression discontinuity approach
Schönemann, Gregor - In: The journal of futures markets 42 (2022) 3, pp. 446-471
Persistent link: https://www.econbiz.de/10012817941
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Credit default swaps and firm risk
Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
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Valuing retail credit tranches with structural, double mixture models
Bae, Taehan; Iscoe, Ian; Kim, Changki - In: The journal of futures markets 35 (2015) 9, pp. 849-867
Persistent link: https://www.econbiz.de/10011392664
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Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Chang, Jui-jane; Chen, Son-nan; Wu, Ting-pin - In: The journal of futures markets 33 (2013) 9, pp. 827-867
Persistent link: https://www.econbiz.de/10009779065
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Forecasting variance swap payoffs
Dark, Jonathan; Gao, Xin; Heijden, Thijs van der; … - In: The journal of futures markets 42 (2022) 12, pp. 2135-2164
Persistent link: https://www.econbiz.de/10013465873
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Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi; Xie, Jinming - In: The journal of futures markets 43 (2023) 4, pp. 455-479
Persistent link: https://www.econbiz.de/10014293114