Disentangling the Information Content of Government Bonds and Credit Default Swaps: An Empirical Analysis on Sovereigns and Banks-Reference-Cited by-同舟云学术

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Disentangling the Information Content of Government Bonds and Credit Default Swaps: An Empirical Analysis on Sovereigns and Banks

Published:2016-12-02 Issue: Volume:2 Page:
ISSN:2297-4687
Container-title:Frontiers in Applied Mathematics and Statistics
language:
Short-container-title:Front. Appl. Math. Stat.

Author:

Bianchi Michele L.,Rocco Marco

Publisher

Frontiers Media SA

Subject

Applied Mathematics,Statistics and Probability

Reference35 articles.

1. A spread-return mean-reverting model for credit spread dynamics;O'Donoghue;Int J Theor Appl Finan,2014

2. Credit default swaps and financial stability;Cont;Banque de France Finan Stab Rev,2010

3. An exact formula for default swaptions pricing in the SSRJD stochastic intensity model;Brigo;Math Finan,2010

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1. Extracting implied volatilities from bank bonds;Quantitative Finance;2023-07-09

2. Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs;Communications in Statistics - Simulation and Computation;2020-02-03

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