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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

Exploring for the determinants of credit risk in credit default swap transaction data : is fixed-income markets' information sufficient to evaluate credit risk?

Aunon-Nerin, Daniel; Cossin, Didier; Hricko, Tomas; … - 2002

Persistent link: https://www.econbiz.de/10001743415

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

Understanding credit derivatives and their potential to synthesize riskless assets

Bomfim, Antúlio N. - 2001

Persistent link: https://www.econbiz.de/10001637887

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

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

"In this paper the behaviour of credit default swaps (CDS) are analysed for a sample of firms and support found for the theoretical equivalence of CDS prices and credit spreads. When this is violated, the CDS price can be viewed as an upper bound on the price of credit risk, while the spread...

Persistent link: https://www.econbiz.de/10001932407