Analyse von Credit Spreads - ESCP Europe Business School
Analyse von Credit Spreads - ESCP Europe Business School
Analyse von Credit Spreads - ESCP Europe Business School
Sie wollen auch ein ePaper? Erhöhen Sie die Reichweite Ihrer Titel.
YUMPU macht aus Druck-PDFs automatisch weboptimierte ePaper, die Google liebt.
Bomfim, Antulio N. (2003): Counterparty <strong>Credit</strong> Risk in Interest Rate Swaps during<br />
Times of Market Stress. Finance and Economics Discussion Series, Nr. 9.<br />
Brooks, Robert/Yong Yan, David (1999): London Inter-Bank Offer Rate (LIBOR)<br />
versus Treasury Rate – Evidence from the Parsimonisous Term Structure Model.<br />
Journal of Fixed Income, 9, Nr. 1, S. 71–83.<br />
Brown, Keith C./Harlow, W. V./Smith, Donald J. (1994): An Empirical Analysis of<br />
Interst Rate Swap <strong>Spreads</strong>. Journal of Fixed Income, 3, S. 61–78.<br />
Brown, Rob/In, Francis/Fang, Victor (2002): Modelling the Determinants of Swap<br />
<strong>Spreads</strong>. Journal of Fixed Income, 12, Nr. 1, S. 29–40.<br />
Clark, Ephraim/Zenaidi, Amel (2004): Country Default Risk and the Determinants<br />
of Sovereign Debt Discounts. In Frenkel, Michael/Karmann,<br />
Alexander/Scholtens, Bert (Hrsg.): Sovereign Risk and Financial Crisis.<br />
Berlin: Springer, S. 29–50.<br />
Collin-Dufresne, Pierre/Goldstein, Robert S. (2001): Do <strong>Credit</strong> <strong>Spreads</strong> Reflect<br />
Stationary Leverage Ratios? Journal of Finance, 56, Nr. 5, S. 1929–1957.<br />
Collin-Dufresne, Pierre/Solnik, Bruno (2001): On the Term Structure of Default<br />
Premia in the Swap and Libor Markets. Journal of Finance, 56, Nr. 3,<br />
S. 1095–1115.<br />
Cooper, Neil/Scholtes, Cedric (2001): Government Bond Market Valuations in an<br />
Era of Dwindling Supply. Bank for International Settlements (BIS) Papers, 1,<br />
Nr. 5, S. 147–169.<br />
De Jong, Frank/Driessen, Joost (2006): Liquidity Risk Premia in Corporate Bond<br />
Markets. Working Paper.<br />
Delianedis, Gordon/Geske, Robert (2001): The Components of Corporate <strong>Credit</strong><br />
<strong>Spreads</strong>: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors. Working<br />
Paper University of California, Los Angeles, Nr. 22-01.<br />
Driessen, Joost (2005): Is Default Event Risk Priced in Corporate Bonds? Review of<br />
Financial Studies, 18, Nr. 1, S. 165–195.<br />
Duffie, Darrell (1996): Special Repo Rates. Journal of Finance, 51, Nr. 2, S. 493–526.<br />
Duffie, Darrell (1999): <strong>Credit</strong> Swap Valuation. Financial Analysts Journal, 55, Nr. 1,<br />
S. 73–85.<br />
Duffie, Darrell/Huang, Ming (1996): Swap Rates and <strong>Credit</strong> Quality. Journal of<br />
Finance, 51, Nr. 3, S. 921–949.<br />
33
Change language