What did the credit market expect of Argentina default? Evidence from default swap data
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Cited by:
- Marco Realdon, 2007. "A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Pres," Discussion Papers 07/25, Department of Economics, University of York.
- Adam B. Ashcraft & João A. C. Santos, 2006. "Has the development of the structured credit market affected the cost of corporate debt?," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Zinna, Gabriele, 2013. "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 15-35.
- Carr, Peter & Wu, Liuren, 2007. "Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2383-2403, August.
- Aït-Sahalia, Yacine & Laeven, Roger J.A. & Pelizzon, Loriana, 2014.
"Mutual excitation in Eurozone sovereign CDS,"
Journal of Econometrics, Elsevier, vol. 183(2), pages 151-167.
- Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana, 2014. "Mutual excitation in eurozone sovereign CDS," SAFE Working Paper Series 51, Leibniz Institute for Financial Research SAFE.
- Longstaff, Francis A. & Mithal, Sanjay & Neis, Eric, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market, previously titled: "The Credit-Default Swap Market: Is Credit Protection Priced Correctly?&qu," University of California at Los Angeles, Anderson Graduate School of Management qt8gn7h03k, Anderson Graduate School of Management, UCLA.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011.
"How Sovereign Is Sovereign Credit Risk?,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007. "How Sovereign is Sovereign Credit Risk?," NBER Working Papers 13658, National Bureau of Economic Research, Inc.
- Juttner, D. Johannes & Chung, David & Leung, Wayne, 2006. "Emerging market bond returns--An investor perspective," Journal of Multinational Financial Management, Elsevier, vol. 16(2), pages 105-121, April.
- Sanjiv Das, 2007. "Basel II: Correlation Related Issues," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 17-38, October.
- Adam B. Ashcraft & João A. C. Santos, 2007. "Has the credit derivatives swap market lowered the cost of corporate debt?," Staff Reports 290, Federal Reserve Bank of New York.
- Mr. Jochen R. Andritzky & Mr. Manmohan Singh, 2006. "The Pricing of Credit Default Swaps During Distress," IMF Working Papers 2006/254, International Monetary Fund.
- Eyssell, Thomas & Fung, Hung-Gay & Zhang, Gaiyan, 2013. "Determinants and price discovery of China sovereign credit default swaps," China Economic Review, Elsevier, vol. 24(C), pages 1-15.
- Zinna, Gabriele, 2014.
"Identifying risks in emerging market sovereign and corporate bond spreads,"
Emerging Markets Review, Elsevier, vol. 20(C), pages 1-22.
- Zinna, Gabriele, 2011. "Identifying risks in emerging market sovereign and corporate bond spreads," Bank of England working papers 430, Bank of England.
- Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2011. "Enhancing credit default swap valuation with meshfree methods," European Journal of Operational Research, Elsevier, vol. 214(3), pages 805-813, November.
- Jansen, Jeroen & Das, Sanjiv R. & Fabozzi, Frank J., 2018. "Local volatility and the recovery rate of credit default swaps," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 1-29.
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More about this item
Keywords
Credit - Argentina; Swaps (Finance);NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2003-09-08 (Financial Markets)
- NEP-LAM-2003-09-08 (Central & South America)
- NEP-RMG-2003-09-08 (Risk Management)
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