Narrow search
Showing 1 - 10 of 4,553
Cover Image
Essays on credit risk, interest rate risk and macroeconomic risk
Hou, Yuanfeng - 2003
Persistent link: https://www.econbiz.de/10003628359
Cover Image
Essays on swaps and default risk
Mozumdar, Abon - 1997
Persistent link: https://www.econbiz.de/10000982059
Cover Image
A model for corporate bonds and the pricing of interest rate swaps with credit risk
Sun, Tong-sheng - In: International journal of business 1 (1996) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10001201543
Cover Image
The conditional dependence structure of banking sector credit default swap indices
Zghal, Rania; Ghorbel, Ahmed; Triki, Mohamed Wajdi - In: International journal of financial markets and derivatives 4 (2015) 3/4, pp. 273-298
Persistent link: https://www.econbiz.de/10011546011
Cover Image
Covered interest parity deviation and counterparty default risk : U.S. Dollar/Korean Won FX swap market
Choi, Hanbok; Eom, Young Ho; Jang, Woon Wook; Kim, Don H. - In: Pacific-Basin finance journal 44 (2017), pp. 47-63
Persistent link: https://www.econbiz.de/10011800741
Cover Image
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
Cover Image
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
Cover Image
Understanding credit derivatives and their potential to synthesize riskless assets
Bomfim, Antúlio N. - 2001
Persistent link: https://www.econbiz.de/10001637887
Cover Image
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
Cover Image
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