Measuring Default Risk Premia from Default Swap Rates and EDFs (2004)

by Antje Berndt , Rohan Douglas , Darrell Due , Darrell Duffie , Mark Ferguson , David Schranz
Citations:94 - 7 self

Active Bibliography

BIS Working Papers No 173 Measuring default risk premia from default swap rates and – Antje Berndt, Rohan Douglas, Darrell Duffie, Mark Ferguson, David Schranz
16 Credit Risk Modeling with Affine Processes – Darrell Duffie - 2004
2 Default Risk Premia and Asset Returns ∗ – Antje Berndt, Aziz A. Lookman, Iulian Obreja - 2006
Essays on Credit Risk Committee: – Yongjun Tang, Sheridan Titman Supervisor, Hong Yan Co-supervisor, Jennifer Huang, Stathis Tompaidis, Essays Credit Risk, Yongjun Tang, Yongjun Tang - 2005
48 Term structure dynamics in theory and reality – Qiang Dai, Kenneth Singleton - 2003
43 The Determinants of Credit Default Swap Premia – Jan Ericsson, Kris Jacobs, Rodolfo A. Oviedo - 2004
2 Fixed Income Analysis: Securities, Pricing, and Risk Management – Claus Munk - 2003
21 Credit risk modeling and valuation: an introduction – Kay Giesecke - 2004
32 Continuous-time methods in finance: A review and an assessment – Suresh M. Sundaresan - 2000
2 A Short Course on Credit Risk Modeling with Affine Processes. Working Paper, Graduate – Darrell Duffie, Scuola Normale Superiore - 2002
Risk Premia in Structured Credit Derivatives – Andreas Eckner - 2007
6 Credit Risk Modelling: Intensity Based Approach – Tomasz Bielecki, Marek Rutkowski - 2000
A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure – Liuren Wu, Frank Xiaoling Zhang - 2008
11 Arbitrage-free pricing of credit derivatives with rating transitions – Viral V. Acharya, Rangarajan K. Sundaram, Sanjiv Ranjan Das - 2002
Intertemporal Asset Pricing Theory – Darrell Duffie - 2002
in Finance and Insurance Meeting in Oberwolfach, at Deutsche Bank Frankfurt, the JSM Annual – Antje Berndt - 2003
Meeting, the Stochastic Analysis in Finance and Insurance Meeting in Oberwolfach, Deutsche – Antje Berndt, Art Owen, Philip Protter - 2003
Estimating the Term . . . Callable Corporate Bond Price Data – Antje Berndt - 2004
4 Structural rfv: Recovery form and defaultable debt analysis, working paper – Rajiv Guha, Ro Sbuelz - 2003