An empirical analysis of credit default swaps
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 11 (2002)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/inca/620166
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
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- Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
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- Sanjiv R. Das & Rangarajan K. Sundaram, 1998. "A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives," NBER Working Papers 6635, National Bureau of Economic Research, Inc.
- Romain Cuchet & Pascal François & Georges Hübner, 2011.
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Cahiers de recherche
- Romain Cuchet & Pascal Fran�Ois & Georges H�Bner, 2013. "Currency total return swaps: valuation and risk factor analysis," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1135-1148, February.
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- Batten, Jonathan & Hogan, Warren, 2002. "A perspective on credit derivatives," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 251-278.
- Nathalie Rey, 2009.
"Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities,"
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- Jacques, Sébastien & Lai, Van Son & Soumaré, Issouf, 2011. "Synthetizing a debt guarantee: Super-replication versus utility approach," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 27-40, January.
- Liu, Yang & Morley, Bruce, 2011.
"Sovereign Credit Default Swaps and the Macroeconomy,"
Department of Economics Working Papers
24071, University of Bath, Department of Economics.
- Yang Liu & Bruce Morley, 2012. "Sovereign credit default swaps and the macroeconomy," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 129-132, February.
- Roberto Blanco & Simon Brennan & Ian W Marsh, 2004.
"An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps,"
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211, Bank of England.
- Roberto Blanco & Simon Brennan & Ian W. Marsh, 2004. "An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps," Banco de Espaï¿½a Working Papers 0401, Banco de Espa�a.
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