Pricing and integration of credit default swap index tranches-Reference-Cited by-同舟云学术

Pricing and integration of credit default swap index tranches

Published:2019-12-10 Issue:4 Volume:40 Page:503-526
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Carverhill Andrew¹,Luo Dan²³^ORCID

Affiliation:

1. Department of Economics and FinanceCity University of Hong Kong Hong Kong China

2. School of FinanceShanghai University of Finance and Economics Shanghai China

3. Shanghai Key Laboratory of Financial Information Technology Shanghai China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22082

Reference45 articles.

1. Delta-Hedged Gains and the Negative Market Volatility Risk Premium

2. Systemic Credit Risk: What Is the Market Telling Us?

3. Black F.(1976).Studies of stock price volatility changes.Proceedings of the 1976 Meetings of the American Statistical Association Business and Economic Statistics Section 177–181.

4. Bloomberg.Daily spreads on the CDX index and tranches from 2004 to 2008. Retrieved fromhttps://www.bloomberg.com

5. Empirical Tests of the Consumption-Oriented CAPM

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