Similar Search Results

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

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...

Persistent link: https://www.econbiz.de/10011412294