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Valuation of credit default swaps
1 references·9 citing·41 second hop
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this work references cited by second hop

References

  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited

Cited by

  • 2007The Price Impact of Rating Announcements: Which Announcements Matter?109 cited
  • 2012Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics59 cited
  • 2010Corporate Credit Default Swap Liquidity and Its Implicationsfor Corporate Bond Spreads58 cited
  • 2017Infrastructure financing with project bond and credit default swap under public-private partnerships54 cited
  • 2017CDS Primleri ile Ülke Kredi Riski Arasındaki İlişkinin Değerlendirilmesi; Türkiye Örneği34 cited
  • 2014The pricing of credit default swaps under a generalized mixed fractional Brownian motion34 cited
  • 2006Implied Expected Tranched Loss Surface from CDO Data33 cited
  • 2012An Empirical Comparison of Alternative Credit Default Swap Pricing Models25 cited
  • 2017Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach23 cited

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