Similar Search Results

Default dependence : the equity default relationship

Turnbull, Stuart M. (contributor); Yang, Jun (contributor) - 2008

The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare...

Persistent link: https://www.econbiz.de/10003641322

Put option premiums and coherent risk measures

Jarrow, Robert A. - In: Mathematical finance : an international journal of … 12 (2002) 2, pp. 135-142

Persistent link: https://www.econbiz.de/10001686241

Capital adequacy rules, catastrophic firm failure, and systemic risk

Jarrow, Robert A. - In: Review of derivatives research 16 (2013) 3, pp. 219-231

Persistent link: https://www.econbiz.de/10010222969

Counterparty risk and the pricing of defaultable securities

Jarrow, Robert A.; Yu, Fan - In: The journal of finance : the journal of the American … 56 (2001) 5, pp. 1765-1799

Persistent link: https://www.econbiz.de/10001615429

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

Problems with using CDS to infer default probabilities

Jarrow, Robert A. - In: The journal of fixed income 21 (2012) 4, pp. 6-12

Persistent link: https://www.econbiz.de/10009670767

The economic default time and the arcsine law

Guo, Xin; Jarrow, Robert A.; Larrard, Adrien de - In: Journal of financial engineering 1 (2014) 3, pp. 1-18

Persistent link: https://www.econbiz.de/10010508010

Modeling the recovery rate in a reduced form model

Guo, Xin; Jarrow, Robert A.; Zeng, Yan - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 73-97

Persistent link: https://www.econbiz.de/10003818346

Distressed debt prices and recovery rate estimation

Guo, Xin; Jarrow, Robert A.; Lin, Haizhi - In: Review of derivatives research 11 (2008) 3, pp. 171-204

Persistent link: https://www.econbiz.de/10003835030

Bankruptcy prediction with industry effects

Chava, Sudheer; Jarrow, Robert A. - In: Review of finance : journal of the European Finance … 8 (2004) 4, pp. 537-569

Persistent link: https://www.econbiz.de/10002468514