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Pricing Default Swaps: Empirical Evidence · Study

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PreprintPricing Default Swaps: Empirical Evidence

Patrick Houweling2001

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Preprintgreen2001

Pricing Default Swaps: Empirical Evidence

Patrick Houweling · Ton Vorst

31 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Distress and Bankruptcy Prediction

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1981Martingales and stochastic integrals in the theory of continuous trading 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1999Modeling Term Structures of Defaultable Bonds 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1997A Markov Model for the Term Structure of Credit Risk Spreads

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2005Pricing default swaps: Empirical evidencearticle · 17 shared references 2000The intersection of market and credit riskarticle · 11 shared references 2006THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDYarticle · 11 shared references 2002Pricing Credit Derivatives with Rating Transitionsarticle · 11 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 10 shared references 2005Credit risk modeling with affine processesarticle · 10 shared references

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Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations31

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.294799

openalex_workW1504864375

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