Swap credit risk: An empirical investigation on transaction data-Reference-Cited by-同舟云学术

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Swap credit risk: An empirical investigation on transaction data

Published:1997-10 Issue:10 Volume:21 Page:1351-1373
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Cossin Didier,Pirotte Hugues

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference42 articles.

1. Valuation of default-risky interest-rate swaps;Abken;Advances in Futures and Options Research,1993

2. Rating drift in high-yield bonds;Altman,1992

3. Three Essays on Contingent Claims;Baz;Harvard Ph.D. Thesis,1995

4. Interrelation among events of default;Beneish;Contemporary Accounting Research,1995

5. Synthetic assets swaps;Bhattacharya;Journal of Portfolio Management,1990

Cited by 18 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The dynamics of sovereign yields over swap rates in the Eurozone market;International Review of Financial Analysis;2020-11

2. Counterparty credit risk and derivatives pricing;Journal of Financial Economics;2019-12

3. Interest Rate Swap Market Complexity and Its Risk Management Implications;Complexity;2018-10-24

4. Global financial crisis and US interest rate swap spreads;Applied Financial Economics;2010-01

5. Understanding and Modeling the KRW IRS Swap Spreads and Their Term Structure;Korean Journal of Financial Engineering;2009-06

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