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Valuing Default Swaps Under Market and Credit Risk Correlation

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References

1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
1998On cox processes and credit risky securities1,213 cited
2000Valuing Credit Default Swaps I426 cited
1995Pricing Derivatives on Financial Securities Subject to Credit Risk396 cited
2001Valuing Credit Default Swaps II341 cited
2001Default Parameter Estimation Using Market Prices206 cited
1994Fitting Yield Curves and Forward Rate Curves With Maximum Smoothness143 cited
2002Estimating expected losses and liquidity discounts implicit in debt prices70 cited

Cited by

2008Market Expectations and Default Risk Premium in Credit Default Swap Prices42 cited
2009The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads34 cited
2006On Credit-Spread Slopes and Predicting Bank Risk34 cited
2008Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach24 cited

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