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The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market · Study

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PreprintThe Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market

Nikola A. Tarashev2007

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Preprintgreen2007

The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market

Nikola A. Tarashev · Haibin Zhu

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

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2000On Default Correlation 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps 2003Credit Risk 2006Multi-period corporate default prediction with stochastic covariates 1999Credit Swap Valuation 2006An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market

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2018Systemic Risk in Financial Markets: How Systemically Important Are Insurers?2015Assessing the credit risk of money market funds during the eurozone crisis

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Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations20

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.967330

openalex_workW2022486338

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