Credit default swaps
- An Empirical Examination of the Term Structure Fundamentals of Credit SpreadsAustin Murphy and Adrian HeadleyThe Journal of Fixed Income March 2020, jfi.2020.1.093; DOI: https://doi.org/10.3905/jfi.2020.1.093
- Biases in CDS Spreads After the CDS Big BangXinjie Wang, Hongjun Yan and Zhaodong (Ken) ZhongThe Journal of Fixed Income March 2020, jfi.2020.1.095; DOI: https://doi.org/10.3905/jfi.2020.1.095
- Term Structure of CDS Spreads and Risk-Based Capital of the Protection Seller: An Extension of the Dynamic Nelson-Siegel Model with the Business CycleStandley R. Baron and Issouf SoumaréThe Journal of Fixed Income March 2020, jfi.2020.1.089; DOI: https://doi.org/10.3905/jfi.2020.1.089
- Physics and Derivatives: On Three Important Problems in Mathematical FinanceAlexander Lipton and Vadim KaushanskyThe Journal of Derivatives February 2020, jod.2020.1.098; DOI: https://doi.org/10.3905/jod.2020.1.098
- The Impact of Firm-Level Political Risk on Creditor ControlMaksim Isakin and Xiaoling PuThe Journal of Fixed Income June 2019, 29 (1) 44-54; DOI: https://doi.org/10.3905/jfi.2019.1.070
- What Drives Systemic State Credit Risk? Evidence from the State Credit Default Swap (CDS) MarketSheen Liu, Chunchi Wu, Chung-Ying Yeh and Woongsun YooThe Journal of Fixed Income March 2019, 28 (4) 5-45; DOI: https://doi.org/10.3905/jfi.2019.1.069
- A General Accurate Approximation for Pricing and Hedging Basket Options with Exact Moment MatchingFeifan Wu, Xundi Diao and Chongfeng WuThe Journal of Derivatives February 2019, 26 (3) 68-86; DOI: https://doi.org/10.3905/jod.2019.1.072
- A Closed-Form Solution for the Global Quadratic Hedging of Options under Geometric Gaussian Random WalksFrédéric GodinThe Journal of Derivatives February 2019, 26 (3) 97-107; DOI: https://doi.org/10.3905/jod.2019.1.071
- An Econometric Analysis of the Determinants of CVA SpreadsIssouf SoumaréThe Journal of Fixed Income September 2018, 28 (2) 16-30; DOI: https://doi.org/10.3905/jfi.2018.28.2.016
- Asymmetric Dynamics between Informed Trading Activity and Credit Default SwapsWen-Cheng Hu and Alex YiHou HuangThe Journal of Derivatives November 2018, 26 (2) 70-85; DOI: https://doi.org/10.3905/jod.2018.1.070
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