Default Dependence: The Equity Default Relationship (original) (raw)
Related papers
Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
Review of Financial Studies, 2009
Empirical evidence on the dependence of credit default swaps and equity prices
Journal of Futures Markets, 2009
Measuring and Modeling Default Dependence: Evidence from CDO, CDS and Equity Data
2009
Can structural models price default risk? New evidence from bond and credit derivative markets
2005
Measuring and Modeling the Correlation of Default Intensities: Evidence from Credit Default Swaps
2007
Default Risk Premia and a Non-Linear Asset Pricing Model
SSRN Electronic Journal, 2017
2004
On the relationship between Asian credit default swap and equity markets
Journal of Asia Business …, 2009
The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
Journal of Financial and Quantitative Analysis, 2010
Market and Model Credit Default Swap Spreads: Mind the Gap!
European Financial …, 2009
Specification Analysis of Structural Credit Risk Models
SSRN Electronic Journal, 2008
Financial linkages between US sector credit default swaps markets
2014
Time Varying Default Risk Premia in Corporate Bond Markets
2007
.Determinants of Credit Default Swaps in Europe and Asia
Modeling default risk: A new structural approach
Finance Research Letters, 2006
Empirical Economics
Specification Analysis of Structural Credit Risk Model with Stochastic Volatility
Journal of advance research in business, management and accounting, 2023
Anchoring Credit Default Swap Spreads to Firm Fundamentals
SSRN Electronic Journal, 2012
Credit Default Swaps - Essays on Model and Market Efficiency
2010
Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data
SSRN Electronic Journal, 2001
Fundamentals-Based versus Market-Based Cross-Sectional Models of CDS Spreads
2006
On the single name CDS price under structural modeling
Journal of Computational and Applied Mathematics, 2014
SSRN Electronic Journal, 2000
SSRN Electronic Journal, 2003
On the Determinants of the Implied Default Barrier
SSRN Electronic Journal, 2000
数理解析研究所講究録, 2014
HOW DID CDS MARKETS IMPACT STOCK MARKETS? EVIDENCE FROM LATEST FINANCIAL CRISIS
Predicting and Pricing the Probability of Default
2008
2008
Default prediction models: The role of forward-looking measures of returns and volatility
The role of asset payouts in the estimation of default barriers
International Review of Financial Analysis, 2022
Simple Robust Linkages between CDS and Equity Options
SSRN Electronic Journal, 2000