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..
- Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
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- Pierre Collin-Dufresne, 2001. "On the Term Structure of Default Premia in the Swap and LIBOR Markets," Journal of Finance, American Finance Association, vol. 56(3), pages 1095-1115, June.
- Gregory R. Duffee, 1998. "The Relation Between Treasury Yields and Corporate Bond Yield Spreads," Journal of Finance, American Finance Association, vol. 53(6), pages 2225-2241, December.
- Pierre Collin-Dufresne, 2001. "The Determinants of Credit Spread Changes," Journal of Finance, American Finance Association, vol. 56(6), pages 2177-2207, December.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Romain Cuchet & Pascal François & Georges Hübner, 2013.
"Currency total return swaps: valuation and risk factor analysis,"
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.
- 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.
- Liu, Yang & Morley, Bruce, 2011. "Sovereign Credit Default Swaps and the Macroeconomy," Department of Economics Working Papers 24071, University of Bath, Department of Economics.
- repec:eid:wpaper:03/11 is not listed on IDEAS
More about this item
KeywordsCredit default swaps; moral hazard; recovery rates; asymmetric information;
- 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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