Counterparty risk
- Counterparty Risk in Exchange-Traded
Notes (ETNs)Balazs Cserna, Ariel Levy and Zvi WienerThe Journal of Fixed Income June 2013, 23 (1) 76-101; DOI: https://doi.org/10.3905/jfi.2013.23.1.076 - Problems with Using CDS to Infer Default ProbabilitiesRobert A. JarrowThe Journal of Fixed Income March 2012, 21 (4) 6-12; DOI: https://doi.org/10.3905/jfi.2012.21.4.006
- Inferring Default Probabilities from Credit SpreadsTerry Benzschawel and Andrew AssingThe Journal of Fixed Income March 2012, 21 (4) 13-24; DOI: https://doi.org/10.3905/jfi.2012.21.4.013
- Estimating the Joint Probability of Default Using Credit
Default Swap and Bond DataRiccardo Pianeti, Rosella Giacometti and Valentina AcerbisThe Journal of Fixed Income December 2011, 21 (3) 44-58; DOI: https://doi.org/10.3905/jfi.2012.21.3.044 - Are Liquidity and Counterparty Risk Priced in the Credit Default Swap Market?Xiaoling Pu, Junbo Wang and Chunchi WuThe Journal of Fixed Income March 2011, 20 (4) 59-79; DOI: https://doi.org/10.3905/jfi.2011.20.4.059
- Forgive, or Award Your Debtor? A Barrier Option ApproachDavid Sun and Chun-Da ChenThe Journal of Derivatives August 2018, 26 (1) 67-95; DOI: https://doi.org/10.3905/jod.2018.1.068
- A New Model for Pricing Collateralized Financial DerivativesTim XiaoThe Journal of Derivatives May 2017, 24 (4) 8-20; DOI: https://doi.org/10.3905/jod.2017.24.4.008
- Editor’s LetterStephen FiglewskiThe Journal of Derivatives May 2017, 24 (4) 1-2; DOI: https://doi.org/10.3905/jod.2017.24.4.001
- Vulnerable Exotic DerivativesMarcos Escobar, Mirco Mahlstedt, Sven Panz and Rudi ZagstThe Journal of Derivatives February 2017, 24 (3) 84-102; DOI: https://doi.org/10.3905/jod.2017.24.3.084
- Internal Valuation of Assets with Liquidity RiskBert-Jan NautaThe Journal of Derivatives February 2017, 24 (3) 70-83; DOI: https://doi.org/10.3905/jod.2017.24.3.070
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