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Exploring the components of credit risk in credit default swaps

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  • Fabozzi, Frank J.
  • Cheng, Xiaolin
  • Chen, Ren-Raw

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File URL: http://www.sciencedirect.com/science/article/B7CPP-4MG1P20-1/2/bb3c67b468e26b8da0dd3aefaca10072
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Bibliographic Info

Article provided by Elsevier in its journal Finance Research Letters.

Volume (Year): 4 (2007)
Issue (Month): 1 (March)
Pages: 10-18

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Handle: RePEc:eee:finlet:v:4:y:2007:i:1:p:10-18

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Web page: http://www.elsevier.com/locate/frl

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References

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  1. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008. "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2706-2715, December.
  2. Houweling, P. & Vorst, A.C.F., 2003. "Pricing default swaps: empirical evidence," Econometric Institute Research Papers EI 2003-51, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO.
  4. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market," NBER Working Papers 10418, National Bureau of Economic Research, Inc.
  5. Amihud, Yakov & Mendelson, Haim, 1991. " Liquidity, Maturity, and the Yields on U.S. Treasury Securities," Journal of Finance, American Finance Association, vol. 46(4), pages 1411-25, September.
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Cited by:
  1. Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2012. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Working Papers 12.03, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
  2. Jiri Podpiera & Inci Ötker, 2010. "The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions," IMF Working Papers 10/153, International Monetary Fund.
  3. 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.
  4. repec:eid:wpaper:03/11 is not listed on IDEAS
  5. repec:pab:wpbsad:12.07 is not listed on IDEAS
  6. Völz, Manja & Wedow, Michael, 2009. "Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market," Discussion Paper Series 2: Banking and Financial Studies 2009,06, Deutsche Bundesbank, Research Centre.

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