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Pricing and hedging interest and credit risk sensitive instruments

Skinner, Frank - 2004

Persistent link: https://www.econbiz.de/10001999175

On modelling credit risk using Arbitrage Free Models

Skinner, Frank; Diaz, Antonio - Henley Business School, University of Reading - 2001

By examining the distribution of state prices obtained from binomial versions of Jarrow and Turnbull (1995), Lando (1998) and Duffie and Singleton (1999), we are able to suggest which credit risk parameters are of critical interest. We find that it appears worthwhile to parameterize credit risk...

Persistent link: https://www.econbiz.de/10005558314

Hedging bonds subject to credit risk

Skinner, Frank S. - In: Journal of banking & finance 22 (1998) 3, pp. 321-345

Persistent link: https://www.econbiz.de/10001238387

An empirical study of credit default swaps

Skinner, Frank S.; Díaz Pérez, Antonio - In: The journal of fixed income 13 (2003) 1, pp. 28-38

Persistent link: https://www.econbiz.de/10001782459

An empirical analysis of credit default swaps

Skinner, Frank S.; Townend, Timothy G. - In: International review of financial analysis 11 (2002) 3, pp. 297-309

Persistent link: https://www.econbiz.de/10001715975

Covered interest rate parity in emerging markets

Skinner, Frank S.; Mason, Andrew - In: International review of financial analysis 20 (2011) 5, pp. 355-363

Persistent link: https://www.econbiz.de/10009492093