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The economic foundations of risk management : theory, practice, and applications

Jarrow, Robert A. - 2017

Persistent link: https://www.econbiz.de/10011569703

Valuing default swaps under market and credit risk correlation

Jarrow, Robert A.; Yildirim, Yildiray - In: The journal of fixed income 11 (2001) 4, pp. 7-19

Persistent link: https://www.econbiz.de/10001701698

Corporate yield spreads: default risk or liquidity? : new evidence from the credit-default swap market

Longstaff, Francis A.; Mithal, Sanjay; Neis, Eric - 2004

Persistent link: https://www.econbiz.de/10002022642

Corporate yield spreads : default tisk or liquidity? : New evidence from the credit default swap market

Longstaff, Francis A.; Mithal, Sanjay; Neiss, Eric - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2213-2254

Persistent link: https://www.econbiz.de/10003159306

Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

Longstaff, Francis A. - 2004

We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the...

Persistent link: https://www.econbiz.de/10012468275