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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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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

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