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An Empirical Comparison of Alternative Credit Default Swap Pricing Models · Study

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PreprintAn Empirical Comparison of Alternative Credit Default Swap Pricing Models

Michele Leonardo Bianchi2012

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Preprintgreen2012

An Empirical Comparison of Alternative Credit Default Swap Pricing Models

Michele Leonardo Bianchi

25 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*1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 2001Empirical properties of asset returns: stylized facts and statistical issues 2003Financial Modelling with Jump Processes 1999Modeling Term Structures of Defaultable Bonds 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2010Housing Market Spillovers: Evidence from an Estimated DSGE Model

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Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations25

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.2165842

openalex_workW75817017

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