This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
An Empirical Comparison of Default Swap Pricing Models Author info | Abstract | Publisher info | Download info | Related research | Statistics Patrick Houweling () (Erasmus University Rotterdam)
Ton Vorst () (VU University Amsterdam)
Additional information is available for the following
registered author(s):
In this paper we compare market prices of credit default swaps with model prices. We show
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number
02-004/2.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: 22 Jan 2002Date of revision:
Handle: RePEc:dgr:uvatin:20020004Contact details of provider: Web page: http://www.tinbergen.nl/
For technical questions regarding this item, or to correct its listing, contact: (Walther Schoonenberg).
Keywords: Other versions of this item:
Paper Houweling, P. & Vorst, A.C.F., 2002.
"An Empirical Comparison of Default Swap Pricing Models ,"
Research Paper
ERS-2002-23-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
[Downloadable!] Patrick Houweling & Ton Vorst, 2001.
"An Empirical Comparison of Default Swap Pricing Models ,"
Finance
0112003, EconWPA.
[Downloadable!] P. Houweling & A.C.F. Vorst, 2001.
"An empirical comparison of default swap pricing models ,"
Econometric Institute Report
251, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!] This paper has been announced in the following NEP Reports :
Cited by : (explanations , 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.)Frank X. Zhang, 2003.
"What did the credit market expect of Argentina default? Evidence from default swap data ,"
Finance and Economics Discussion Series
2003-25, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Linda Allen & Anthony Saunders, 2004.
"Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature ,"
Journal of Financial Services Research ,
Springer, vol. 26(2), pages 161-191, October.
[Downloadable!] (restricted)
Clemens J.M. Kool, 2007.
"Financial Stability in European Banking: The Role of Common Factors ,"
Money Macro and Finance (MMF) Research Group Conference 2006
101, Money Macro and Finance Research Group.
[Downloadable!]
Abel Elizalde, 2006.
"Credit Risk Models I: Default Correlation In Intensity Models ,"
Working Papers
wp2006_0605, CEMFI.
[Downloadable!]
Norden, Lars & Weber, Martin, 2004.
"Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements ,"
CEPR Discussion Papers
4250, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Clemens Kool, 2006.
"Financial Stability in European Banking: The Role of Common Factors ,"
Open Economies Review ,
Springer, vol. 17(4), pages 525-540, December.
[Downloadable!] (restricted)
Mehari Mekonnen Akalu, 2002.
"Measuring and Ranking Value Drivers ,"
Tinbergen Institute Discussion Papers
02-043/2, Tinbergen Institute.
[Downloadable!]
Clemens Kool, 2006.
"Financial Stability in European Banking: The Role of Common Factors ,"
Working Papers
06-13, Utrecht School of Economics.
[Downloadable!]
Lars Norden & Martin Weber, 2004.
"The comovement of credit default swap, bond and stock markets: an empirical analysis ,"
CFS Working Paper Series
2004/20, Center for Financial Studies.
[Downloadable!]
Hoi Wong & Tsz Wong, 2007.
"Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds ,"
Asia-Pacific Financial Markets ,
Springer, vol. 14(3), pages 229-253, September.
[Downloadable!] (restricted)
Roberto Blanco & Simon Brennan & Ian W Marsh, .
"An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps ,"
Bank of England working papers
211, Bank of England.
[Downloadable!]
Access and
download statistics Did you know? Authors registered on the RePEc Author Service receive monthly emails with details about downloads and abstract views of their works.
This page was last updated on 2009-12-10.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .