An Empirical Study of Credit Default Swaps
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References listed on IDEAS
- Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008.
"A Markov Model for the Term Structure of Credit Risk Spreads,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453,
World Scientific Publishing Co. Pte. Ltd..
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Cited by:
- 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.
- Yang Liu & Bruce Morley, 2011. "Sovereign Credit Default Swaps and the Macroeconomy," Department of Economics Working Papers 03/11, University of Bath, Department of Economics.
- Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2022. "Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2124-2145, April.
- Romain Cuchet & Pascal François & Georges Hübner, 2013.
"Currency total return swaps: valuation and risk factor analysis,"
Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1135-1148, February.
- Romain Cuchet & Pascal François & Georges Hübner, 2011. "Currency Total Return Swaps: Valuation and Risk Factor Analysis," Cahiers de recherche 1128, CIRPEE.
- repec:mth:ijafr8:v:8:y:2018:i:4:p:248-286 is not listed on IDEAS
- Sorin Gabriel Anton, 2011. "The Local Determinants Of Emerging Market Sovereign Cds Spreads In The Context Of The Debt Crisis. An Explanatory Study "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 58, pages 41-52, november.
- Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, December.
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More about this item
Keywords
Credit default swaps; moral hazard; recovery rates; asymmetric information;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
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