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THE SLOPE OF THE TERM STRUCTURE OF CREDIT SPREADS: AN EMPIRICAL INVESTIGATION
Bedendo, Mascia; Cathcart, Lara; El-Jahel, Lina - In: The journal of financial research : a publ. of the … 30 (2007) 2, pp. 237-258
Persistent link: https://www.econbiz.de/10007742845
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CREDIT DERIVATIVES Trading down the slopes - The authors show that the slope of the credit spread term structure can be used as an indicator of changes in future short-term credit spreads. This conclusion is tested by implementing a long short trading strategy on a CDS index.
Bedendo, Mascia; Cathcart, Lara; El-Jahel, Lina; … - In: Risk : managing risk in the world's financial markets 18 (2005) 11, pp. 107-110
Persistent link: https://www.econbiz.de/10007021603
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Market and Model Credit Default Swap Spreads: Mind the Gap!
Bedendo, Mascia; Cathcart, Lara; El‐Jahel, Lina - In: European financial management : the journal of the … 17 (2011) 4, pp. 655-679
Persistent link: https://www.econbiz.de/10009256555
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THE CORRELATION STRUCTURE OF THE CDS MARKET: An Empirical Investigation
Cathcart, Lara; El-Jahel, Lina; Evans, Leonard - In: The journal of fixed income 22 (2013) 4, pp. 53-74
Persistent link: https://www.econbiz.de/10010106243
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Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach
Badaoui, Saad; Cathcart, Lara; El-Jahel, Lina - In: Journal of banking & finance 37 (2013) 7, pp. 2392-2407
Persistent link: https://www.econbiz.de/10010112274
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Valuation of Defaultable Bonds
Cathcart, Lara; El-Jahel, Lina - In: The journal of fixed income 8 (1998) 1, pp. 65-78
Persistent link: https://www.econbiz.de/10007354585
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MULTIPLE DEFAULTS AND MERTON'S MODEL
Cathcart, Lara; El-Jahel, Lina - In: The journal of fixed income 14 (2004) 1, pp. 60-68
Persistent link: https://www.econbiz.de/10007153021
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Credit risk transfer in U.S. commercial banks: What changed during the 2007–2009 crisis?
Bedendo, Mascia; Bruno, Brunella - In: Journal of banking & finance 36 (2012) 12, pp. 3260-3274
Persistent link: https://www.econbiz.de/10010026830
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The dynamics of the volatility skew: A Kalman filter approach
Bedendo, Mascia; Hodges, Stewart D. - In: Journal of banking & finance 33 (2009) 6, pp. 1156-1166
Persistent link: https://www.econbiz.de/10008892217
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On the implications of market power in banking: Evidence from developing countries
Bedendo, Mascia; Campolongo, Francesca; Joossens, Elisabeth - In: Journal of banking & finance 34 (2010) 4, pp. 765-776
Persistent link: https://www.econbiz.de/10008382235