SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Actuarial Par Spread and Empirical Pricing of CDS by Decomposition
7 references·0 citing·32 second hop
Actuarial Par Spread and Empirical Pricing of CDS by Decomposition (2014)Actuarial Par Spread and Empirical Pricin…The CDS‐Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns (2017)The CDS‐Bond Basis Arbitrage …“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Multiperiod corporate default prediction—A forward intensity approach (2012)Multiperiod corporate default…Multiperiod Corporate Default Prediction with the Partially-Conditioned Forward Intensity (2012)Multiperiod Corporate Default…The Determinants of Credit Default Swap Premia (2009)The Determinants of Credit De…Multi-period corporate default prediction with stochastic covariates (2006)Multi-period corporate defaul…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…A Theory of the Term Structure of Interest Rates (1985)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Default Correlations and Large-Portfolio Credit Analysis (2015)What's the value of a TBTF guaranty? Evidence from the G-SII designation for insurance companies ✰ (2018)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)CDS-bond basis and bond return predictability (2016)Understanding transactions prices in the credit default swaps market (2016)Credit Default Swaps and Corporate Bond Trading (2019)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Term Structures of Defaultable Bonds (1999)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)Leveraged Buyouts and Private Equity (2009)Finance and Economics Discussion Series (2022)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Credit Spreads and Business Cycle Fluctuations (2012)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Environmental, social and governance disclosure and default risk (2021)ESG and Firm's Default Risk (2022)Trust, social capital, and the bond market benefits of ESG performance (2022)
this work references cited by second hop

References

  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2006Multi-period corporate default prediction with stochastic covariates973 cited
  • 2009The Determinants of Credit Default Swap Premia700 cited
  • 2012Multiperiod corporate default prediction—A forward intensity approach365 cited
  • 2017The CDS‐Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns53 cited
  • 2012Multiperiod Corporate Default Prediction with the Partially-Conditioned Forward Intensity24 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work