[BOOK][B] International Series in Operations Research & Management Science
FS Hillier, CC Price - 2001 - Springer
Conic optimization is a significant and thriving research area within the optimization
community. Conic optimization is the general class of problems concerned with optimizing a …
community. Conic optimization is the general class of problems concerned with optimizing a …
Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market
FA Longstaff, S Mithal, E Neis - The journal of finance, 2005 - Wiley Online Library
We use the information in credit default swaps to obtain direct measures of the size of the
default and nondefault components in corporate spreads. We find that the majority of the …
default and nondefault components in corporate spreads. We find that the majority of the …
An empirical analysis of the dynamic relation between investment‐grade bonds and credit default swaps
We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads
derived by Duffie (1999), finding support for the parity relation as an equilibrium condition …
derived by Duffie (1999), finding support for the parity relation as an equilibrium condition …
The relationship between credit default swap spreads, bond yields, and credit rating announcements
J Hull, M Predescu, A White - Journal of banking & finance, 2004 - Elsevier
A company's credit default swap spread is the cost per annum for protection against a
default by the company. In this paper we analyze data on credit default swap spreads …
default by the company. In this paper we analyze data on credit default swap spreads …
Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk
The recent financial crisis poses the challenge to understand how systemic risk arises
endogenously and what architecture can make the financial system more resilient to global …
endogenously and what architecture can make the financial system more resilient to global …
[BOOK][B] Credit derivatives pricing models: models, pricing and implementation
PJ Schönbucher - 2003 - books.google.com
The credit derivatives market is booming and, for the first time, expanding into the banking
sector which previously has had very little exposure to quantitative modeling. This …
sector which previously has had very little exposure to quantitative modeling. This …
Credit risk modeling
D Lando - Handbook of Financial Time Series, 2009 - Springer
The chapter gives a broad outline of the central themes of credit risk modeling starting with
the modeling of default probabilities, ratings and recovery. We present the two main …
the modeling of default probabilities, ratings and recovery. We present the two main …
[BOOK][B] Credit risk measurement: New approaches to value at risk and other paradigms
A Saunders, L Allen - 2002 - books.google.com
The most cutting-edge read on the pricing, modeling, and management of credit risk
available The rise of credit risk measurement and the credit derivatives market started in the …
available The rise of credit risk measurement and the credit derivatives market started in the …
[BOOK][B] Introduction to credit risk modeling
C Bluhm, L Overbeck, C Wagner - 2016 - taylorfrancis.com
Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit
risk in particular and finance in general remain important fields for the application of …
risk in particular and finance in general remain important fields for the application of …
Good and bad credit contagion: Evidence from credit default swaps
This study examines the intra-industry information transfer effect of credit events, as captured
in the credit default swaps (CDS) and stock markets. Positive correlations across CDS …
in the credit default swaps (CDS) and stock markets. Positive correlations across CDS …