[BOOK][B] Dynamic asset pricing theory
D Duffie - 2010 - books.google.com
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …
doctoral students and researchers on the theory of asset pricing and portfolio selection in …
Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market
FA Longstaff, S Mithal, E Neis - The journal of finance, 2005 - Wiley Online Library
We use the information in credit default swaps to obtain direct measures of the size of the
default and nondefault components in corporate spreads. We find that the majority of the …
default and nondefault components in corporate spreads. We find that the majority of the …
[BOOK][B] Introduction to credit risk modeling
C Bluhm, L Overbeck, C Wagner - 2016 - taylorfrancis.com
Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit
risk in particular and finance in general remain important fields for the application of …
risk in particular and finance in general remain important fields for the application of …
[HTML][HTML] The intersection of market and credit risk
RA Jarrow, SM Turnbull - Journal of Banking & Finance, 2000 - Elsevier
Economic theory tells us that market and credit risks are intrinsically related to each other
and not separable. We describe the two main approaches to pricing credit risky instruments …
and not separable. We describe the two main approaches to pricing credit risky instruments …
Estimating and pricing credit risk: An overview
DL Kao - Financial Analysts Journal, 2000 - Taylor & Francis
In the past five years, many sophisticated models for pricing credit risk have been
developed. The rapid progress in this area is primarily a result of the growth of credit …
developed. The rapid progress in this area is primarily a result of the growth of credit …
Pricing default swaps: Empirical evidence
P Houweling, T Vorst - Journal of international Money and Finance, 2005 - Elsevier
In this paper we compare market prices of credit default swaps with model prices. We show
that a simple reduced form model outperforms directly comparing bonds' credit spreads to …
that a simple reduced form model outperforms directly comparing bonds' credit spreads to …
Asymmetric determinants of CDS spreads: US industry-level evidence through the NARDL approach
This paper investigates the presence of asymmetries in the short-and long-run relationships
between the 5-year CDS index spreads at the US industry level and a set of major …
between the 5-year CDS index spreads at the US industry level and a set of major …
Measuring and managing credit risk
A De Servigny, O Renault, A de Servigny - 2004 - pdfs.semanticscholar.org
MEASURING AND MANAGING CREDIT RISK Page 1 MEASURING AND MANAGING
CREDIT RISK ARNAUD DE SERVIGNY OLIVIER RENAULT UNIVERSITAT …
CREDIT RISK ARNAUD DE SERVIGNY OLIVIER RENAULT UNIVERSITAT …
[BOOK][B] Stochastic processes with applications to finance
M Kijima - 2002 - taylorfrancis.com
In recent years, modeling financial uncertainty using stochastic processes has become
increasingly important, but it is commonly perceived as requiring a deep mathematical …
increasingly important, but it is commonly perceived as requiring a deep mathematical …
Hedging stock sector risk with credit default swaps
M Ratner, CCJ Chiu - International Review of Financial Analysis, 2013 - Elsevier
This study examines the potential risk reducing benefits of credit default swaps (CDS)
against risk in US stock market sectors from 2004 to 2011. Tests of GARCH dynamic …
against risk in US stock market sectors from 2004 to 2011. Tests of GARCH dynamic …