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Special issue on credit risk and credit derivatives

Webb, Robert I. (contributor) - 2004

Persistent link: https://www.econbiz.de/10001850803

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

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

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

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

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

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

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

Calibration of quantum decision theory, aversion to large losses and predictability of probabilistic choices

Vincent, Sabine; Jukalov, Vjačeslav I.; Kovalenko, Tatyana - 2016

We present the first calibration of quantum decision theory (QDT) to an empirical data set. The data comprise 91 choices between two lotteries (two "prospects") presented in 91 random pairs made by 142 subjects offered at two separated times. First, we quantitatively account for the fraction of...

Persistent link: https://www.econbiz.de/10011516615

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800