Similar Search Results - EconBiz

The term structure of expected recovery rates

Doshi, Hitesh; Elkamhi, Redouane; Ornthanalai, Chayawat - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2619-2661

Persistent link: https://www.econbiz.de/10012128871

Multi-currency credit default swaps

Brigo, Damiano; Pede, Nicola; Petrelli, Andrea - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-35

Persistent link: https://www.econbiz.de/10012030890

Dynamic credit default swaps curves in a network topology

Xu, Xiu; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang - 2016

Systemically important banks are connected and have dynamic dependencies of their default probabilities. An extraction of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape and the dynamics of the default probabilities. Extending the Dynamic Nelson...

Persistent link: https://www.econbiz.de/10011579056

Interdependencies across sovereign bond credit default swap markets

Kayalar, Derya Ezgi; Talaslı, İrem; Ünalmış, İbrahim - 2017

Persistent link: https://www.econbiz.de/10011657876

Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps

Calice, Giovanni; Mio, RongHui; Štěrba, Filip; … - In: Journal of empirical finance 33 (2015), pp. 174-189

Persistent link: https://www.econbiz.de/10011556866

A general framework for the benchmark pricing in a fully collateralized market

Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10011587747

A joint analysis of market indexes in credit default swap, volatility and stock markets

Fonseca, José da; Wang, Peiming - In: Applied economics 48 (2016) 19/21, pp. 1767-1784

Persistent link: https://www.econbiz.de/10011589737

Pricing credit default swap under fractional Vasicek interest rate model

Hao, Ruili; Liu, Yonghui; Wang, Shoubai - In: Journal of mathematical finance 4 (2014) 1, pp. 10-20

Persistent link: https://www.econbiz.de/10010422093

Sovereign risk and the pricing of corporate credit default swaps

Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone - In: The journal of credit risk : published quarterly by … 11 (2015) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011298504

Risk-adjusted covered interest parity : theory and evidence

Wong, Alfred Y.; Leung, David; Ng, Calvin - 2016

Persistent link: https://www.econbiz.de/10012200964

A service of the