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The Determinants of Credit Default Swap Premia. (2004). Ericsson, Jan ; Jacobs, Kris ; Oviedo, Rodolfo A..
In: CIRANO Working Papers.
RePEc:cir:cirwor:2004s-55.

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  1. .

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  2. Credit default swap spreads and variance risk premia. (2013). Wang, Hao ; Zhou, YI.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:10:p:3733-3746.

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  3. Explaining aggregate credit default swap spreads. (2012). Wagner, Niklas ; Breitenfellner, Bastian .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:22:y:2012:i:c:p:18-29.

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  4. Are credit default swaps a sideshow? Evidence that Information Flows from Equity to CDS Markets. (2012). Hilscher, Jens ; Pollet, Joshua M. ; Wilson, Mungo.
    In: Working Papers.
    RePEc:brd:wpaper:35.

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  5. Boom-bust cycles, imbalances and discipline in Europe. (2012). Molina Sánchez, Luis ; del Río, Pedro ; Alberola, Enrique ; del Rio, Pedro.
    In: Working Papers.
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  6. The Management of Greek Sovereign Risk. (2011). Oldani, Chiara.
    In: MPRA Paper.
    RePEc:pra:mprapa:36195.

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  7. Determinants of Credit Default Swaps in International Markets. (2011). Hassan, M. Kabir ; Suk-Yu, Jung ; Ngow, Thiti S..
    In: NFI Working Papers.
    RePEc:nfi:nfiwps:2011-wp-01.

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  8. Daily CDS pricing in emerging markets before and during the global financial crisis. (2011). Neuenkirch, Matthias ; Hayo, Bernd ; Fender, Ingo.
    In: MAGKS Papers on Economics.
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  9. Information Disclosure and Corporate Governance. (2011). Weisbach, Michael ; Hermalin, Benjamin.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0076.

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  10. Credit default swap spreads and variance risk premia. (2011). Zhou, Hao ; Wang, Hao.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2011-02.

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  11. The Impact of Collateral Policies on Sovereign CDS Spreads. (2011). Calice, Giovanni .
    In: ECMI Papers.
    RePEc:eps:ecmiwp:12234.

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  12. What explains default risk premium during the financial crisis? Evidence from Japan. (2011). Naifar, Nader.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:63:y:2011:i:5:p:412-430.

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  13. Market discipline and too-big-to-fail in the CDS market: Does banks size reduce market discipline?. (2011). Wedow, Michael ; Volz, Manja .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:195-210.

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  14. The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk. (2011). Olmo, Jose ; Kapar, B..
    In: Working Papers.
    RePEc:cty:dpaper:11/02.

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  15. The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps. (2011). Bekkour, Lamia ; Lehnert, Thorsten ; Amadari, Maria Chiara .
    In: LSF Research Working Paper Series.
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  16. The Local Determinants Of Emerging Market Sovereign Cds Spreads In The Context Of The Debt Crisis. An Explanatory Study . (2011). Anton, Sorin.
    In: Analele Stiintifice ale Universitatii Alexandru Ioan Cuza din Iasi - Stiinte Economice.
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  17. An empirical analysis of alternative recovery risk models and implied recovery rates. (2010). Zhang, Frank.
    In: Review of Derivatives Research.
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  18. The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions. (2010). Podpiera, Jiri ; Ötker-Robe, Inci ; Otker, Inci.
    In: IMF Working Papers.
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  20. Tax Arbitrage with Risk and Effort Aversion - Swedish Lottery Bonds 1970-1990. (2010). Rydqvist, Kristian .
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  21. An analysis of euro area sovereign CDS and their relation with government bonds. (2010). Fontana, Alessandro ; Scheicher, Martin.
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  22. The term structure of risk premia: new evidence from the financial crisis. (2010). Berg, Tobias.
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  23. Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market. (2009). Wedow, Michael ; Volz, Manja .
    In: Discussion Paper Series 2: Banking and Financial Studies.
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  24. Accounting-based versus market-based cross-sectional models of CDS spreads. (2009). Sarin, Atulya ; Das, Sanjiv ; Hanouna, Paul.
    In: Journal of Banking & Finance.
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  25. A semiparametric model for the systematic factors of portfolio credit risk premia. (2009). Giammarino, Flavia ; Barrieu, Pauline .
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  26. The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices. (2009). Fender, Ingo ; Scheicher, Martin.
    In: Working Paper Series.
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  27. The determinants of option-adjusted delta credit spreads : a comparative analysis of the United States, the United Kingdom and the euro area. (2009). HASAN, IFTEKHAR ; Becchetti, Leonardo ; Carpentieri, Andrea .
    In: Research Discussion Papers.
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  28. A value at risk analysis of credit default swaps. (2008). Raunig, Burkhard ; Scheicher, Martin.
    In: Discussion Paper Series 2: Banking and Financial Studies.
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  29. Market conditions, default risk and credit spreads. (2008). yan, hong ; Tang, Dragon Yongjun.
    In: Discussion Paper Series 2: Banking and Financial Studies.
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  30. The Credit Default Swap Markets Reaction to Earnings Announcements. (2008). Greatrex, Caitlin Ann.
    In: Fordham Economics Discussion Paper Series.
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  31. The Credit Default Swap Markets Determinants. (2008). Greatrex, Caitlin Ann.
    In: Fordham Economics Discussion Paper Series.
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  32. Specification analysis of structural credit risk models. (2008). Zhou, Hao ; Huang, Jingzhi.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-55.

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  33. Regime dependent determinants of credit default swap spreads. (2008). Kaeck, Andreas ; Alexander, Carol.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:6:p:1008-1021.

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  34. Default Dependence: The Equity Default Relationship. (2008). Yang, Jun ; Turnbull, Stuart M..
    In: Staff Working Papers.
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  35. Copula based simulation procedures for pricing basket Credit Derivatives. (2007). Naifar, Nader ; Fathi, Abid ; Nader, Naifar.
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  36. Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options. (2007). Wu, Liuren ; Carr, Peter.
    In: Journal of Banking & Finance.
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  37. Exploring the components of credit risk in credit default swaps. (2007). Fabozzi, Frank ; Cheng, Xiaolin .
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  38. THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY. (2006). Abid, Fathi ; Naifar, Nader.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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  39. Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices. (2006). Kaeck, Andreas ; Alexander, Carol.
    In: ICMA Centre Discussion Papers in Finance.
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  40. Arbitrage in the Foreign Exchange Market: Turning on the Microscope. (2006). Sarno, Lucio ; Rime, Dagfinn ; Akram, Qaisar.
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  41. Has the development of the structured credit market affected the cost of corporate debt?. (2006). santos, joao ; Ashcraft, Adam.
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  42. THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY. (2005). Abid, Fathi ; Naifar, Nader.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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  43. Large vs. Small Players: A Closer Look at the Dynamics of Speculative Attacks. (2005). Rime, Dagfinn ; Holden, Steinar ; Bjønnes, Geir ; Bjonnes, Geir H. ; Solheim, Haakon O. Aa., .
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  44. Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. (2005). Zhou, Hao.
    In: Finance and Economics Discussion Series.
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    In: Econometric Society 2004 North American Summer Meetings.
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  28. The Determinants of Credit Default Swap Premia. (2004). Ericsson, Jan ; Jacobs, Kris ; Oviedo, Rodolfo A..
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  29. Formal Bankruptcy: Strategic Debt Service with Senior and Junior Creditors. (2004). Breccia, Adriana .
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  30. A Theory of Capital Structure with Strategic Defaults and Priority Violations. (2003). Hvide, Hans ; Kaplan, Todd .
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    In: SSE/EFI Working Paper Series in Economics and Finance.
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  36. A Note on Contingent Claims Pricing with Non-Traded Assets. (2002). Ericsson, Jan ; Reneby, Joel .
    In: SSE/EFI Working Paper Series in Economics and Finance.
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  39. Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy. (2002). Carpenter, Jennifer ; Acharya, Viral.
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