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Modeling Term Structures of Swap Spreads
SSRN Electronic Journal
◽
10.2139/ssrn.233963
◽
2000
◽
Cited By ~ 26
Author(s):
Hua He
Keyword(s):
Term Structures
◽
Swap Spreads
Download Full-text
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References
Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads
The North American Journal of Economics and Finance
◽
10.1016/j.najef.2019.101072
◽
2020
◽
Vol 51
◽
pp. 101072
Author(s):
Masaru Tsuruta
Keyword(s):
Credit Default Swap
◽
Bond Yields
◽
Sovereign Credit
◽
Sovereign Bond
◽
Local Currency
◽
Term Structures
◽
Credit Default
◽
Default Swap
◽
Swap Spreads
Download Full-text
The Components of Interest Rate Swap Spreads: Theory and International Evidence
CFA Digest
◽
10.2469/dig.v33.n3.1316
◽
2003
◽
Vol 33
(3)
◽
pp. 34-36
Author(s):
Robert A. McLean
Keyword(s):
Interest Rate
◽
Interest Rate Swap
◽
International Evidence
◽
Swap Spreads
◽
Rate Swap
Download Full-text
Portfolio losses in factor models: term structures and intertemporal loss dependence
The Journal of Credit Risk
◽
10.21314/jcr.2006.056
◽
2006
◽
Vol 2
(4)
◽
pp. 3-31
◽
Cited By ~ 8
Author(s):
Leif Andersen
Keyword(s):
Factor Models
◽
Term Structures
Download Full-text
Credit default swap spreads, fair-value spreads and interest rate dynamics
The Journal of Credit Risk
◽
10.21314/jcr.2012.154
◽
2012
◽
Vol 8
(4)
◽
pp. 53-129
◽
Cited By ~ 1
Author(s):
Andy Jia-Yuh Yeh
Keyword(s):
Interest Rate
◽
Credit Default Swap
◽
Fair Value
◽
Interest Rate Dynamics
◽
Credit Default
◽
Default Swap
◽
Swap Spreads
Download Full-text
The Impact of Credit Rating Announcements on Corporates' Credit Default Swap Spreads - Are There Intra-Industry Effects Observable?
SSRN Electronic Journal
◽
10.2139/ssrn.2084916
◽
2012
◽
Author(s):
Hans-Peter Burghof
◽
Philipp Johannes Schneider
◽
Andreas Wengner
Keyword(s):
Credit Rating
◽
Credit Default Swap
◽
Industry Effects
◽
Credit Default
◽
Default Swap
◽
The Impact
◽
Swap Spreads
Download Full-text
Reconciling the Term Structures of Corporate and Social Discount Rates
SSRN Electronic Journal
◽
10.2139/ssrn.2559203
◽
2015
◽
Author(s):
Mark Freeman
Keyword(s):
Discount Rates
◽
Term Structures
Download Full-text
The Influence of Systemic Importance Indicators on Bankss Credit Default Swap Spreads
SSRN Electronic Journal
◽
10.2139/ssrn.2648466
◽
2015
◽
Cited By ~ 2
Author(s):
Jill Cetina
◽
Bert Loudis
Keyword(s):
Credit Default Swap
◽
Credit Default
◽
Default Swap
◽
Swap Spreads
Download Full-text
The Impact of Debt Covenant Violation on Credit Default Swap Spreads
SSRN Electronic Journal
◽
10.2139/ssrn.2893672
◽
2017
◽
Author(s):
Changling Chen
◽
Jeong-Bon Kim
◽
Chunmei Zhu
Keyword(s):
Credit Default Swap
◽
Credit Default
◽
Debt Covenant
◽
Debt Covenant Violation
◽
Default Swap
◽
The Impact
◽
Swap Spreads
Download Full-text
Analytical Pricing of Swaption in Affine Term Structures with Stochastic Volatility
SSRN Electronic Journal
◽
10.2139/ssrn.2955793
◽
2010
◽
Author(s):
Massoud Heidari
◽
Ali Hirsa
◽
Dilip B. Madan
Keyword(s):
Stochastic Volatility
◽
Term Structures
Download Full-text
Macro-Derivatives Nexus: New Drivers of Cross-Currency Basis Swap Spreads
SSRN Electronic Journal
◽
10.2139/ssrn.3405022
◽
2019
◽
Cited By ~ 1
Author(s):
Oyakhilome Ibhagui
Keyword(s):
Swap Spreads
Download Full-text
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