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CDS and equity markets' volatility linkages : lessons from the EMU crisis
Bratis, Theodoros; Laopodis, Nikiforos; Kouretas, … - In: Review of quantitative finance and accounting 60 (2023) 3, pp. 1259-1281
Persistent link: https://www.econbiz.de/10014291804
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The economic significance of CDS price discovery
Xiang, Vincent; Chng, Michael T.; Fang, Victor - In: Review of quantitative finance and accounting 48 (2017) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10011796591
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Explaining co-movements between equity and CDS bid-ask spreads
Marra, Miriam - In: Review of quantitative finance and accounting 49 (2017) 3, pp. 811-853
Persistent link: https://www.econbiz.de/10011797542
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Credit default swap spreads and annual report readability
Hu, Nan; Liu, Ling; Zhu, Lu - In: Review of quantitative finance and accounting 50 (2018) 2, pp. 591-621
Persistent link: https://www.econbiz.de/10011979211
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The impact of margin interest on the valuation of credit default swaps
Kan, Yu Hang; Pedersen, Claus - In: The journal of derivatives : the official publication … 20 (2012) 1, pp. 60-79
Persistent link: https://www.econbiz.de/10009671707
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Recent advances in default swap valuation
Cheng, Wai-yan - In: The journal of derivatives : the official publication … 9 (2001) 1, pp. 18-27
Persistent link: https://www.econbiz.de/10001618895
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Credit spread options valuation under GARCH
Tahani, Nabil - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
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Counterparty risk minimization by the optimal netting of OTC derivative trades
O'Kane, Dominic - In: The journal of derivatives : the official publication … 24 (2016) 2, pp. 48-65
Persistent link: https://www.econbiz.de/10011687335
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Valuation of CDO and an n-th default CDS without Monte Carlo simulation
Hull, John; White, Alan - In: The journal of derivatives : the official publication … 12 (2004) 2, pp. 8-23
Persistent link: https://www.econbiz.de/10002535939
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Demystifying credit risk derivatives and securitization : introducing the basic ideas to undergraduates
Cifuentes, Arturo; Pagnoncelli, Bernardo K. - In: The journal of derivatives : the official publication … 22 (2014) 2, pp. 110-118
Persistent link: https://www.econbiz.de/10011311414