Credit default swaps
- 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
- CDS Proxy Construction via Machine Learning Techniques—Part II: Parametrization, Correlation, BenchmarkingRaymond Brummelhuis and Zhongmin LuoThe Journal of Financial Data Science April 2019, 1 (2) 128-151; DOI: https://doi.org/10.3905/jfds.2019.1.2.128
- CDS Proxy Construction via Machine Learning Techniques—Part I: Methodology and ResultsRaymond Brummelhuis and Zhongmin LuoThe Journal of Financial Data Science April 2019, 1 (2) 111-127; DOI: https://doi.org/10.3905/jfds.2019.1.2.111
- Do Investors Trade Industry Sector-Based Credit Risk Differently Than Systematic Credit Risk?William J. Procasky and Brian PetrusThe Journal of Alternative Investments September 2021, 24 (2) 106-123; DOI: https://doi.org/10.3905/jai.2021.1.139
- Valuing Credit Default Swaps on Correlated LMM ProcessesJanne Kettunen and Gunter MeissnerThe Journal of Alternative Investments June 2006, 9 (1) 78-88; DOI: https://doi.org/10.3905/jai.2006.640268
- Are the U.S. Stock Market and Credit Default Swap Market Related?Hung-Gay Fung, Gregory E. Sierra, Jot Yau and Gaiyan ZhangThe Journal of Alternative Investments June 2008, 11 (1) 43-61; DOI: https://doi.org/10.3905/jai.2008.708849
- Physics and Derivatives: Effective-Potential Path-Integral Approximations of Arrow-Debreu DensitiesLuca Capriotti and Ruggero VaiaThe Journal of Derivatives August 2020, 28 (1) 8-25; DOI: https://doi.org/10.3905/jod.2020.1.107
- Physics and Derivatives: On Three Important Problems in Mathematical FinanceAlexander Lipton and Vadim KaushanskyThe Journal of Derivatives August 2020, 28 (1) 123-142; DOI: https://doi.org/10.3905/jod.2020.1.098
- 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
- Editor’s LetterJoseph M. PimbleyThe Journal of Derivatives November 2018, 26 (2) 1-2; DOI: https://doi.org/10.3905/jod.2018.26.2.001
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