An Empirical Comparison of Default Swap Pricing Models
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- Houweling, P. & Vorst, A.C.F., 2002. "An Empirical Comparison of Default Swap Pricing Models," ERIM Report Series Research in Management ERS-2002-23-F&A, 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 University Rotterdam.
- Patrick Houweling & Ton Vorst, 2001. "An Empirical Comparison of Default Swap Pricing Models," Finance 0112003, University Library of Munich, Germany.
- Patrick Houweling & Ton Vorst, 2002. "An Empirical Comparison of Default Swap Pricing Models," Tinbergen Institute Discussion Papers 02-004/2, Tinbergen Institute.
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Cited by:
- Jaewon Choi & Or Shachar, 2013. "Did liquidity providers become liquidity seekers?," Staff Reports 650, Federal Reserve Bank of New York.
- Marat Kurbangaleev & Victor Lapshin & Sergey N. Smirnov, 2015. "Study of Consistency of Bond and CDS Quotes," HSE Working papers WP BRP 43/FE/2015, National Research University Higher School of Economics.
- Martin Scheicher, 2003. "Credit Derivatives - Overview and Implications for Monetary Policy and Financial Stability," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 5, pages 96-111.
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"An analytical review of credit risk tranfer instruments,"
Financial Stability Review, Banque de France, issue 2, pages 106-131, June.
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"Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-27.
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Open Economies Review, Springer, vol. 17(4), pages 525-540, December.
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"What are the driving factors behind the rise of spreads and CDS of euro-area sovereign bonds? A FAVAR model for Greece and Ireland,"
International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 7(1), pages 104-120.
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- Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 161-191, October.
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Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2813-2843, November.
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- Linda Allen & Anthony Saunders, 2003. "A survey of cyclical effects in credit risk measurement model," BIS Working Papers 126, Bank for International Settlements.
- Benbouzid, Nadia & Mallick, Sushanta & Pilbeam, Keith, 2018. "The housing market and the credit default swap premium in the UK banking sector: A VAR approach," Research in International Business and Finance, Elsevier, vol. 44(C), pages 1-15.
More about this item
Keywords
credit default swaps; credit derivatives; credit risk; default risk; default-free interest rates; empirical models; market prices;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G3 - Financial Economics - - Corporate Finance and Governance
- M - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics
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