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Citations for " Swap Rates and Credit Quality"

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  1. Duffie, Darrell, 2005. "Credit risk modeling with affine processes," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2751-2802, November.
  2. Harper, Joel T. & Wingender, John R., 2000. "An empirical test of agency cost reduction using interest rate swaps," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1419-1431, September.
  3. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "The Effect of Monetary Unification on German Bond Markets," International Economics Working Papers Series wpie005, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
  4. Masaaki Fujii & Akihiko Takahashi, 2009. "A Survey on Modeling and Analysis of Basis Spreads," CARF F-Series CARF-F-195, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  5. Mark Grinblatt, 2001. "An Analytic Solution for Interest Rate Swap Spreads," International Review of Finance, International Review of Finance Ltd., vol. 2(3), pages 113-149.
  6. Kang, Jangkoo & Kim, Hwa-Sung, 2005. "Pricing counterparty default risks: Applications to FRNs and vulnerable options," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 376-392.
  7. Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2005. "On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models," Discussion Paper Series 2005_9, Department of Economics, Loughborough University, revised Sep 2005.
  8. Sabine Karl & Tom Fischer, 2013. "Cross-Ownership as a Structural Explanation for Over- and Underestimation of Default Probability," Papers 1301.6069, arXiv.org.
  9. Tommaso Mancini Griffoli & Angelo Ranaldo, 2010. "Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity," Working Papers 2010-14, Swiss National Bank.
  10. Xiao, Tim, 2014. "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," MPRA Paper 53982, University Library of Munich, Germany.
  11. Jyh-Horng Lin & Min-Li Yi, 2005. "Loan Portfolio Swaps and Optimal Lending," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 177-198, January.
  12. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, ULB -- Universite Libre de Bruxelles.
  13. Andrew H. Chen & Mohammed M. Chaudhury, 1996. "The Market Value and Dynamic Interest Rate Risk of Swaps," Center for Financial Institutions Working Papers 96-44, Wharton School Center for Financial Institutions, University of Pennsylvania.
  14. Masaaki Fujii & Akihiko Takahashi, 2009. "A Survey on Modeling and Analysis of Basis Spreads," CIRJE F-Series CIRJE-F-697, CIRJE, Faculty of Economics, University of Tokyo.
  15. Marti G. Subrahmanyam & Anurag Gupta, 1998. "An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-068, New York University, Leonard N. Stern School of Business-.
  16. Baba, Naohiko & Packer, Frank, 2009. "From turmoil to crisis: Dislocations in the FX swap market before and after the failure of Lehman Brothers," Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1350-1374, December.
  17. repec:hal:journl:halshs-00179325 is not listed on IDEAS
  18. Biffis, Enrico & Blake, David & Pitotti, Lorenzo & Sun, Ariel, 2011. "The cost of counterparty risk and collateralization in longevity swaps," MPRA Paper 35740, University Library of Munich, Germany.
  19. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2004. "The Market Price Of Risk In Interest Rate Swaps: The Roles Of Default And Liquidity Risks," University of California at Los Angeles, Anderson Graduate School of Management qt5z42g22g, Anderson Graduate School of Management, UCLA.
  20. Naohiko Baba & Frank Packer, 2009. "From turmoil to crisis: dislocations in the FX swap market before and after the failure of Lehman Brothers," BIS Working Papers 285, Bank for International Settlements.
  21. Masaaki Fujii & Seisho Sato & Akihiko Takahashi, 2012. "An FBSDE Approach to American Option Pricing with an Interacting Particle Method," Papers 1211.5867, arXiv.org.
  22. Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009. "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market," Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 925-957, March.
  23. Odermann, Alexander & Cremers, Heinz, 2013. "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series 204, Frankfurt School of Finance and Management.
  24. Xiao, Tim, 2013. "An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk," MPRA Paper 47104, University Library of Munich, Germany.
  25. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010. "Why Does the Treasury Issue Tips? The Tips–Treasury Bond Puzzle," NBER Working Papers 16358, National Bureau of Economic Research, Inc.
  26. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
  27. Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
  28. Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," Papers 1405.0378, arXiv.org, revised May 2014.
  29. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus.
  30. Loon, Yee Cheng & Zhong, Zhaodong Ken, 2014. "The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market," Journal of Financial Economics, Elsevier, vol. 112(1), pages 91-115.
  31. repec:wyi:journl:002109 is not listed on IDEAS
  32. Gregory R. Duffee, 1996. "Estimating the price of default risk," Finance and Economics Discussion Series 96-29, Board of Governors of the Federal Reserve System (U.S.).
  33. Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246 Elsevier.
  34. Li, Haitao & Mao, Connie X., 2003. "Corporate use of interest rate swaps: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1511-1538, August.
  35. Roberto Blanco & Simon Brennan & Ian W Marsh, 2004. "An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps," Bank of England working papers 211, Bank of England.
  36. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 1998. "A Direct Approach to Arbitrage-Free Pricing of Derivatives," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-013, New York University, Leonard N. Stern School of Business-.
  37. Schröder, Thomas & Dunbar, Kwamie, 2010. "Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads," Working Papers 2010001, Sacred Heart University, John F. Welch College of Business.
  38. Tsuji, Chikashi, 2005. "The credit-spread puzzle," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1073-1089, November.
  39. Claudio Albanese & Damiano Brigo & Frank Oertel, 2013. "Restructuring Counterparty Credit Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1350010-1-1.
  40. Houweling, Patrick & Vorst, Ton, 2005. "Pricing default swaps: Empirical evidence," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1200-1225, December.
  41. Lang, Larry H. P. & Litzenberger, Robert H. & Luchuan Liu, Andy, 1998. "Determinants of interest rate swap spreads," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1507-1532, December.
  42. Akihiko Takahashi & Toshihiro Yamada, 2012. "An Asymptotic Expansion for Forward-Backward SDEs; A Malliavin Calculus Aproach," CIRJE F-Series CIRJE-F-865, CIRJE, Faculty of Economics, University of Tokyo.
  43. Naohiko Baba & Frank Packer, 2008. "Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08," BIS Working Papers 267, Bank for International Settlements.
  44. Cossin, Didier & Pirotte, Hugues, 1997. "Swap credit risk: An empirical investigation on transaction data," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1351-1373, October.
  45. Carlo Favero & Marco Pagano & Ernst-Ludwig von Thadden, 2007. "How Does Liquidity Affect Government Bond Yields?," Working Papers 323, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  46. Avouyi-Dovi, S. & Jondeau, E., 1999. "Modelling the French Swap Spread," Working papers 65, Banque de France.
  47. Xiao, Tim, 2012. "An Economic Examination of Collateralization in Different Financial Markets," MPRA Paper 47105, University Library of Munich, Germany.
  48. Keiichi Tanaka, 2003. "Heterogeneous Yield Curves and Basis Swaps," Discussion Papers in Economics and Business 03-12, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  49. Damiano Brigo & Cristin Buescu & Massimo Morini, 2011. "Impact of the first to default time on Bilateral CVA," Papers 1106.3496, arXiv.org.
  50. Francis A. Longstaff & Brett Myers, 2009. "Valuing Toxic Assets: An Analysis of CDO Equity," NBER Working Papers 14871, National Bureau of Economic Research, Inc.
  51. Masaaki Fujii & Akihiko Takahashi, 2011. "Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme," CIRJE F-Series CIRJE-F-802, CIRJE, Faculty of Economics, University of Tokyo.
  52. Augusto Castillo, 2004. "Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(124), pages 345-360.
  53. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6.
  54. Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," CARF F-Series CARF-F-343, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  55. Xiao, Tim, 2013. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper 47136, University Library of Munich, Germany.
  56. Liu, Jun & Longstaff, Francis A. & Mandell, Ravit E., 2000. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management qt0zw4f9w6, Anderson Graduate School of Management, UCLA.
  57. Baba, Naohiko & Packer, Frank, 2009. "Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1953-1962, November.
  58. Duarte, Jefferson & Longstaff, Francis A. & Yu, Fan, 2005. "Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?," University of California at Los Angeles, Anderson Graduate School of Management qt6zx6m7fp, Anderson Graduate School of Management, UCLA.
  59. Marti G. Subrahmanyam & Young Ho Eom & Jun Uno, 2000. "Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-069, New York University, Leonard N. Stern School of Business-.
  60. Acharya, Viral V & Das, Sanjiv Ranjan & Sundaram, Rangarajan K, 2002. "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers 3329, C.E.P.R. Discussion Papers.
  61. Jarrow, Robert A. & Turnbull, Stuart M., 2000. "The intersection of market and credit risk," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 271-299, January.
  62. Naohiko Baba & Frank Packer & Teppei Nagano, 2008. "The spillover of money market turbulence to FX swap and cross-currency swap markets," BIS Quarterly Review, Bank for International Settlements, March.
  63. Toyoshima, Yuki & Tamakoshi, Go & Hamori, Shigeyuki, 2012. "Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 381-394.
  64. Lekkos, Ilias, 2007. "Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 783-817, December.
  65. 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.
  66. Jochen R. Andritzky & Manmohan Singh, 2005. "Overpricing in Emerging Market Credit-Default-Swap Contracts," IMF Working Papers 05/125, International Monetary Fund.
  67. Fujiwara, Hajime & Kijima, Masaaki, 2007. "Pricing of path-dependent American options by Monte Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3478-3502, November.
  68. Akihiko Takahashi & Toshihiro Yamada, 2012. "An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach," CARF F-Series CARF-F-296, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Sep 2013.
  69. Lotz, Christopher & Schlogl, Lutz, 2000. "Default risk in a market model," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 301-327, January.
  70. Masaaki Fujii & Seisho Sato & Akihiko Takahashi, 2012. "An FBSDE Approach to American Option Pricing with an Interacting Particle Method," CIRJE F-Series CIRJE-F-871, CIRJE, Faculty of Economics, University of Tokyo.
  71. Adam Kobor & Lishan Shi & Ivan Zelenko, 2005. "What Determines U.S. Swap Spreads?," World Bank Publications, The World Bank, number 7272, August.
  72. Masaaki Fujii & Akihiko Takahashi, 2011. "Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme," CARF F-Series CARF-F-248, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  73. Xiao, Tim, 2012. "An Economic Examination of Collateralization in Different Financial Markets," MPRA Paper 47371, University Library of Munich, Germany.
  74. Baba, Naohiko & Sakurai, Yuji, 2011. "When and how US dollar shortages evolved into the full crisis? Evidence from the cross-currency swap market," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1450-1463, June.
  75. Alberto Fernández Muñoz de Morales, 2013. "Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study," Documentos de Trabajo del ICAE 2013-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  76. Masaaki Fujii & Akihiko Takahashi, 2010. "Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA," CARF F-Series CARF-F-240, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Mar 2011.
  77. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
  78. Minton, Bernadette A., 1997. "An empirical examination of basic valuation models for plain vanilla U.S. interest rate swaps," Journal of Financial Economics, Elsevier, vol. 44(2), pages 251-277, May.
  79. Hubner, Georges, 2001. "The analytic pricing of asymmetric defaultable swaps," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 295-316, February.
  80. Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2002. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," NBER Working Papers 8990, National Bureau of Economic Research, Inc.
  81. Acharya, Viral V & Carpenter, Jennifer, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," CEPR Discussion Papers 3328, C.E.P.R. Discussion Papers.
  82. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
  83. Niels Rom-Poulsen, 2007. "Semi-analytical MBS Pricing," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 463-498, May.
  84. Filipović, Damir & Trolle, Anders B., 2013. "The term structure of interbank risk," Journal of Financial Economics, Elsevier, vol. 109(3), pages 707-733.
  85. McBrady, Matthew R. & Schill, Michael J., 2007. "Foreign currency-denominated borrowing in the absence of operating incentives," Journal of Financial Economics, Elsevier, vol. 86(1), pages 145-177, October.
  86. Alejandro Revéiz Hérault, . "Factores determinantes de los márgenes entre bonos del gobierno y bonos corporativos en los Estados Unidos," Lecturas en Finanzas 002710, Banco de la Republica de Colombia.
  87. Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A., 2012. "Counterparty credit risk and the credit default swap market," Journal of Financial Economics, Elsevier, vol. 103(2), pages 280-293.
  88. Xiao, Tim, 2013. "Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds," MPRA Paper 47366, University Library of Munich, Germany.
  89. Masaaki Fujii & Akihiko Takahashi, 2011. "Collateralized CDS and Default Dependence -Implications for the Central Clearing-," CIRJE F-Series CIRJE-F-799, CIRJE, Faculty of Economics, University of Tokyo.
  90. Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," CIRJE F-Series CIRJE-F-931, CIRJE, Faculty of Economics, University of Tokyo.
  91. Kanak Patel & Ricardo Pereira, 2008. "Pricing Property Index Linked Swaps with Counterparty Default Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 36(1), pages 5-21, January.
  92. Jesús P. Colino & Winfried Stute, 2008. "Credit risk with semimartingales and risk-neutrality," Statistics and Econometrics Working Papers ws085417, Universidad Carlos III, Departamento de Estadística y Econometría.
  93. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.
  94. Masaaki Fujii & Akihiko Takahashi, 2010. "Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA," CIRJE F-Series CIRJE-F-781, CIRJE, Faculty of Economics, University of Tokyo.
  95. Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," CIRJE F-Series CIRJE-F-840, CIRJE, Faculty of Economics, University of Tokyo.
  96. Masaaki Fujii & Akihiko Takahashi, 2011. "Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA," CARF F-Series CARF-F-265, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  97. Lixin Wu, 2013. "CVA and FVA to Derivatives Trades Collateralized by Cash," Papers 1302.0465, arXiv.org.