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An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps

Blanco, Roberto; Brennan, Simon; Marsh, Ian - 2004

Persistent link: https://www.econbiz.de/10001910274

An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps

Blanco, Roberto; Brennan, Simon; Marsh, Ian - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2255-2282

Persistent link: https://www.econbiz.de/10003159335

An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps

Blanco, Roberto - 2005

We analyse the behaviour of credit default swaps (CDS) for a sample of firms and find support for the theoretical equivalence of CDS prices and credit spreads. When this is violated we suggest the CDS price can be viewed as an upper bound on the price of credit risk, while the spread provides a...

Persistent link: https://www.econbiz.de/10012737480

Liquidez y variaciones mínimas de precios en el mercado español de renta variable

Blanco, Roberto - In: Moneda y crédito : revista de economía (2000) 211, pp. 51-90

Persistent link: https://www.econbiz.de/10001537455

El mercado español de renta variable : análisis de la liquidez e influencia del mercado de derivados

Blanco, Roberto - 1999

Persistent link: https://www.econbiz.de/10001393427

Efectos sobre la volatilidad del mercado bursatil de la introducción de los contratos de futuros y opciones sobre el índice Ibex 35

Blanco, Roberto - In: Investigaciones económicas 24 (2000) 1, pp. 139-175

Persistent link: https://www.econbiz.de/10001494094

Transmisión de información y volatilidad entre el mercado de futuros sobre el índice Ibex 35 y el mercado al contado

Blanco, Roberto - 1998

Persistent link: https://www.econbiz.de/10000995673

Transmisión de información entre el mercado de futuros sobre el ibex 35 y el contado

Blanco, Roberto - In: Revista de economía aplicada : publicación cuatrimestral 11 (2003) 31, pp. 81-101

Persistent link: https://www.econbiz.de/10001807285

Euro area government securities markets : recent developments and implications for market functioning

Blanco, Roberto - In: Market functioning and central bank policy, (pp. 65-85). 2002

Persistent link: https://www.econbiz.de/10001715590

The euro-area government securities market : recent developments and implications for market functioning

Blanco, Roberto - 2001

Persistent link: https://www.econbiz.de/10001642093

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