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8 research outputs found
Capital Structure Arbitrage Revisited
Author
A Currie
B Cserna
+26 more
C Bajlum
C Cao
C Zhou
Cboe
Creditgrades
Creditsuisse
E Gatev
F Black
F Yu
H E Leland
H Hu
Isda
J Duarte
J Hilscher
J Qiu
K Chen
L Norden
M Wojtowicz
Marcin Wojtowicz
Markit
Markit
R Blanco
R C Merton
S Hogan
V V Acharya
Y H Eom
Publication venue
'Elsevier BV'
Publication date
01/01/2014
Field of study
Full text link
Crossref
An extension of CreditGrades model approach with Lévy processes
Author
Bajlum C
Bedendo M
+11 more
Bielecki T
Elizalde A
Finger C
Lando D
Lipton A
Nguyen-Ngoc L
Protter P
Sato K
Sepp A
Veraart L
Zhou C
Publication venue
'Informa UK Limited'
Publication date
Field of study
No full text
Crossref
Testing the Model
Author
A Di Cesare
B Dao
+21 more
C Bajlum
C Cao
C Finger
G Bezerianos
H Leland
H Li
J Abate
J Bai
J Ericsson
J Huang
J Huang
Joe Buellesbach
Joseph Buellesbach
K Emery
N Cai
Navneet Arora
P Pires
R Stamicar
S Kou
S Macovschi
Y Eom
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
Accounting Transparency and the Term Structure of Credit Default Swap Spreads
Author
Claus Bajlum
D Lando
+20 more
E Jones
E Reiner
F A Longsta�
F Longsta�
F Yu
H E Leland
H E Leland
H E Leland
J Abarbanell
J Helwege
J Huang
J Huang
J Ogden
M Petersen
O Sarga
P Houweling
P Sengupta
Peter Tind Larsen
R C Merton
R Verrecchia
Publication venue
'Elsevier BV'
Publication date
01/01/2008
Field of study
No full text
Crossref
Capital Structure Arbitrage: Model Choice and Volatility Calibration
Author
A Berndt
A Currie
+36 more
A Skorecki
C Cao
C Finger
C Finger
C Finger
Claus Bajlum
D Du� E
D Lando
D Lando
E Jones
E Reiner
F A Longsta�
F Black
F Yu
G Andrade
G R Dufee
G Zuckerman
H E Leland
H E Leland
H Fan
J Duarte
J Ericsson
J Hull
L Norden
M Cremers
M H Stohs
M Mitchell
M Mitchell
M Vassalou
N Arora
P Collin-Dufresne
P Crosbie
Peter Tind Larsen
R Blanco
S Hogan
S M Schaefer
Publication venue
'Elsevier BV'
Publication date
01/01/2008
Field of study
No full text
Crossref
Conservatism Flow and the Pricing of Credit Risk
Author
A J Leone
C A Greatrex
+60 more
C A Greatrex
C Bajlum
C Beuselinck
C S A Cheng
C W Smith
D Aunon-Nerin
D Duffie
D Givoly
D S Dhaliwal
D W Diamond
F Gigler
F Yu
G Bhat
G Gong
Garcia Lara
H Louis
H Tookes
J C Hull
J C Hull
J Caskey
J Caskey
J Caskey
J L Callen
J L Callen
J L Callen
J Zhang
K M Murphy
L Revsine
M Bagnoli
M Bradley
M Campello
M Khan
M P Donohoe
P Bolton
P F Pope
P Jorion
R Ball
R Ball
R Ball
R C Merton
R Frankel
R G Sloan
R L Watts
R Lafond
R M Bushman
R M Bushman
R M Stulz
S Basu
S C Andrade
S C Andrade
S G Ryan
S Roychowdhury
Sanjiv R Das
Sumantra Chakravarty
T Vuolteenaho
V V Nikolaev
W Buhler
W H Greene
X Jiang
X Tian
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets
Author
A Elizalde
A Elizalde
+42 more
A Fulop
A Levin
A W Lo
B Cserna
C Bajlum
C Francis
D Aunon-Nerin
D Du� E
D Mengle
D N Politis
D N Politis
D N Politis
D N Politis
D N Politis
F A Longsta�
F Yu
H Zhu
J A-Eck-Graves
J Bai
J De Wit
J Duarte
J Felsenheimer
J Hull
Juan Ignacio Peña
Juan Romo
L Saita
M Predescu
M Trapp
O Bondarenko
P J Schonbucher
R A Jarrow
R A Jarrow
R Blanco
R F Engle
R Jankowitsch
R.-R Chen
S Forte
S Hogan
S Mahanti
S Mayordomo
Sergio Mayordomo
V Acharya
Publication venue
'Elsevier BV'
Publication date
01/01/2011
Field of study
No full text
Crossref
How Efficient are Credit Default Swap Markets? An Empirical Study of Capital Structure Arbitrage Based on Structural Pricing Models
Author
Abel Elizalde
Abel Elizalde
+63 more
Antje Berndt
Antony Currie
Arora
Balazs Cserna
Benjamin Zhang
Björn Imbierowicz
Charles Cao
Chen
Christoph Benkert
Christopher C Finger
Chunsheng Zhou
Claus Bajlum
Collin-Dufresne
Daniel Covitz
Darrell Duffie
Darrell Duffie
Darren J Kisgen
Doron Avramov
Dragon Tang
Edward I Altman
Eugene F Fama
Fan Yu
Fischer Black
Fischer Black
Francis A Longstaff
Francis A Longstaff
Frank Packer
George Tauchen
Giorgio Consigli
H Y Wong
Haibin Zhu
Hans Bystr�m
Hayne E Leland
Hayne E Leland
Hua Fan
Ivo Welch
Jan Ericsson
Jan Ericsson
Jefferson Duarte
Jeffery D Amato
Jeffery D Amato
Jin-Chuan Duan
Jing-Zhi Huang
Jochen Andritzky
John C Hull
John Hull
John Y Campbell
Jonathan Batten
Joost Driessen
Lars Norden
Lars Norden
Lars Norden
Martijn Cremers
Matthias Scherer
Mirela Predescu
Phillip J Sch�nbucher
Pierre Collin-Dufresne
Robert C Merton
Roberto Blanco
Sergei A Davydenko
Stephen M Schaefer
William F Sharpe
Young Eom
Publication venue
'Elsevier BV'
Publication date
01/01/2008
Field of study
No full text
Crossref