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Is Default Event Risk Priced in Corporate Bonds?. (2005). Driessen, Joost.
In: Review of Financial Studies.
RePEc:oup:rfinst:v:18:y:2005:i:1:p:165-195.

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  25. Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe. (2019). Uhde, Andre ; Wengerek, Sascha Tobias ; Hippert, Benjamin.
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  52. What determines bank CDS spreads? Evidence from European and US banks. (2017). Thornton, John ; di Tommaso, Caterina ; Drago, Danilo.
    In: Finance Research Letters.
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  56. Assessing the risks of asset overvaluation: models and challenges. (2017). Taboga, Marco ; Cecchetti, Sara.
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  60. The Determinants of Global Bank Credit-Default-Swap Spreads. (2016). HASAN, IFTEKHAR ; Zhang, Gaiyan ; Liu, Liuling.
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    RePEc:kap:jfsres:v:50:y:2016:i:3:d:10.1007_s10693-015-0232-z.

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  61. Monetary Policy and Corporate Bond Returns. (2016). Zekaite, Zivile ; Kontonikas, Alexandros ; Maio, Paulo.
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  62. Liquidity in Credit Default Swap Markets. (2016). Arakelyan, Armen ; Serrano, Pedro.
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  64. Counter-Credit-Risk Yield Spreads: A Puzzle in Chinas Corporate Bond Market. (2016). Luo, Jian ; Hu, May ; Ye, Xiaoxia .
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  65. Discovering the impact of systemic and idiosyncratic risk factors on credit spread of corporate bond within the framework of intelligent knowledge management. (2015). Tang, Ling ; Chen, Rongda ; Yang, Liu ; Wang, Weijin .
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  66. Using proprietary credit default swap (CDS) data from 2010 to 2014, I show that capital fluctuations for sellers of CDS protection are an important determinant of CDS spread movements. I first establi. (2015). Siriwardane, Emil.
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  68. Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option. (2015). Stockl, Stefan ; Rudolph, David ; Rathgeber, Andreas.
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  71. The reward for trading illiquid maturities in credit default swap markets. (2015). Arakelyan, Armen ; Serrano, Pedro ; Rubio, Gonzalo.
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  81. Liquidity effects in corporate bond spreads. (2014). Huang, Jingzhi ; Helwege, Jean ; Wang, Yuan.
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  82. The economic consequences of regulatory changes in employee stock options on corporate bond holders: SFAS No.123R and structural credit model perspectives. (2014). Chi, Cheng-Ming ; Chen, Tsung-Kang ; Liao, Hsien-Hsing.
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  94. Misallocation and Financial Market Frictions: Some Direct Evidence from the Dispersion in Borrowing Costs. (2013). Zakrajsek, Egon ; Sim, Jae ; Gilchrist, Simon.
    In: Review of Economic Dynamics.
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  95. Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns. (2013). Yildizhan, Celim ; Anginer, Deniz.
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    RePEc:pra:mprapa:53885.

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  96. Deflation Risk. (2013). Lustig, Hanno ; Longstaff, Francis ; Fleckenstein, Matthias.
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  97. Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period. (2013). Dionne, Georges ; Chun, Olfa Maalaoui .
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:1322.

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  98. An empirical study of credit spreads in an emerging market: The case of Korea. (2013). Chang Mo Ahn, ; Kim, Saekwon ; Park, Keehwan.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:21:y:2013:i:1:p:952-966.

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  99. What drives corporate default risk premia? Evidence from the CDS market. (2013). Diaz, Antonio ; Serrano, Pedro ; Groba, Jonatan .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:37:y:2013:i:c:p:529-563.

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  100. Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads. (2013). Perez, M. Fabricio ; Nayak, Subhankar ; Kalimipalli, Madhu .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:8:p:2969-2990.

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  101. The impact of distressed economies on the EU sovereign market. (2013). Lafuente, Juan Angel ; Groba, Jonatan ; Serrano, Pedro.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:7:p:2520-2532.

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  102. Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach. (2013). Cathcart, Lara ; Badaoui, Saad ; El-Jahel, Lina.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:7:p:2392-2407.

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  103. Credit Derivatives. (2013). Hull, John ; White, Alan.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1363-1396.

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  104. Sovereign default risk premia: Evidence from the default swap market. (2013). Zinna, Gabriele.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:21:y:2013:i:c:p:15-35.

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  105. Determinants of credit spreads: The role of ambiguity and information uncertainty. (2013). Guo, Liang.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:24:y:2013:i:c:p:279-297.

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  106. Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals. (2013). Beber, Alessandro ; Brandt, Michael ; Luisi, Maurizio .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9538.

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  107. Derivatives Clearing, Default Risk, and Insurance. (2013). Jones, Robert ; Perignon, Christophe.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:80:y:2013:i:2:p:373-400.

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  108. Funding Advantage and Market Discipline in the Canadian Banking Sector. (2013). D'Souza, Chris ; Beyhaghi, Mehdi ; Roberts, Gordon S..
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-50.

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  109. A unified approach to pricing and risk management of equity and credit risk. (2013). Fontana, Claudio ; Juan Miguel A. Montes, .
    In: Papers.
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  110. Rare Disasters and Credit Market Puzzles. (2013). Christoffersen, Peter ; Elkamhi, Redouane ; Du, Du.
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  111. Are CDS spreads predictable? An analysis of linear and non-linear forecasting models. (2012). Avino, Davide.
    In: MPRA Paper.
    RePEc:pra:mprapa:42848.

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  112. Misallocation and Financial Frictions: Some Direct Evidence From the Dispersion in Borrowing Costs. (2012). Zakrajsek, Egon ; Sim, Jae ; Gilchrist, Simon ; Zakrajek, Egon.
    In: NBER Working Papers.
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  113. Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading. (2012). Lundblad, Christian ; Ellul, Andrew ; Wang, Yihui ; Jotikasthira, Chotibhak .
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  114. On bounding credit event risk premia. (2012). Helwege, Jean ; Goldstein, Robert S. ; Collin-Dufresne, Pierre ; Bai, Jennie.
    In: Staff Reports.
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  115. Modeling credit contagion via the updating of fragile beliefs. (2012). Benzoni, Luca.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-2012-04.

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  116. Misallocation and financial market frictions: some direct evidence from the dispersion in borrowing costs. (2012). Zakrajsek, Egon ; Sim, Jae ; Gilchrist, Simon.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2012-08.

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  117. Pricing deflation risk with U.S. Treasury yields. (2012). Rudebusch, Glenn ; Lopez, Jose ; Christensen, Jens ; Jens H. E. Christensen, .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2012-07.

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  118. Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market. (2012). Kalimipalli, Madhu ; Nayak, Subhankar .
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:21:y:2012:i:2:p:217-242.

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  119. Information asymmetry and bank regulation: Can the spread of debt contracts be explained by recovery rates?. (2012). Ozdemir, Bogie ; Chang, Yuanchen ; Liu, Wenchien ; Miu, Peter .
    In: Journal of Financial Intermediation.
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  120. Pricing of commercial real estate securities during the 2007–2009 financial crisis. (2012). Driessen, Joost ; Van Hemert, Otto .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:105:y:2012:i:1:p:37-61.

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  121. Empirical analysis of credit spread changes of US corporate bonds. (2012). Szilagyi, Peter ; Loncarski, Igor.
    In: International Review of Financial Analysis.
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  122. Option†Adjusted Delta Credit Spreads: a Cross†Country Analysis. (2012). HASAN, IFTEKHAR ; Becchetti, Leonardo ; Carpentieri, Andrea .
    In: European Financial Management.
    RePEc:bla:eufman:v:18:y:2012:i:2:p:183-217.

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  123. Risk Premia and Optimal Liquidation of Credit Derivatives. (2012). Leung, Tim ; Liu, Peng.
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  124. Credit Spreads and Business Cycle Fluctuations. (2012). Zakrajsek, Egon ; Gilchrist, Simon.
    In: American Economic Review.
    RePEc:aea:aecrev:v:102:y:2012:i:4:p:1692-1720.

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  125. Optimal leverage, its benefits, and the business cycle. (2011). Hess, Dieter ; Immenkotter, Philipp .
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  126. CDOs and the Financial Crisis: Credit Ratings and Fair Premia. (2011). Wojtowicz, Marcin .
    In: Tinbergen Institute Discussion Papers.
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  127. Price Discovery between Sovereign Credit Default Swaps and Bond Yield Spreads of Emerging Markets. (2011). Li, Nan.
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:10:y:2011:i:2:p:197-225.

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  128. Credit Default Swaps and Sovereign Debt Markets. (2011). Hassan, M. Kabir ; Ngene, Geoffrey M. ; Suk-Yu, Jung .
    In: NFI Working Papers.
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  129. Leverage and Mortgage Foreclosures. (2011). Kau, James ; Keenan, Donald ; Smurov, Alexey .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:42:y:2011:i:4:p:393-415.

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  130. A Multifactor Model of Credit Spreads. (2011). .
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    RePEc:kap:apfinm:v:18:y:2011:i:1:p:105-127.

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  131. The Impact of Collateral Policies on Sovereign CDS Spreads. (2011). Calice, Giovanni .
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  132. Corporate bond default risk: A 150-year perspective. (2011). Longstaff, Francis A. ; Schaefer, Stephen ; Giesecke, Kay ; Strebulaev, Ilya .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:102:y:2011:i:2:p:233-250.

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  133. Labor unions, bargaining power and corporate bond yield spreads: Structural credit model perspectives. (2011). Liao, Hsien-Hsing ; Chen, Yan-Shing.
    In: Journal of Banking & Finance.
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  134. Downside risk and the size of credit spreads. (2011). Keswani, Aneel ; Gemmill, Gordon.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:8:p:2021-2036.

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  135. Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks?. (2011). Balasubramnian, Bhanu ; Cyree, Ken B..
    In: Journal of Banking & Finance.
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  136. Premia for correlated default risk. (2011). Kim, Baeho ; Azizpour, Shahriar ; Giesecke, Kay .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:8:p:1340-1357.

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  137. Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?. (2011). Gehrig, Thomas ; Füss, Roland ; Rindler, Philipp B ; Fuss, Roland ; ROLAND FÜSS, .
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  138. Identifying risks in emerging market sovereign and corporate bond spreads. (2011). Zinna, Gabriele.
    In: Bank of England working papers.
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  139. STOCHASTIC FILTERING WITH APPLICATIONS IN FINANCE:. (2010). Bhar, Ramaprasad.
    In: World Scientific Books.
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  140. Pricing credit derivatives under stochastic recovery in a hybrid model. (2010). Zagst, Rudi ; Hocht, Stephan ; STEPHAN HÖCHT, .
    In: Applied Stochastic Models in Business and Industry.
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  141. Credit spread changes within switching regimes. (2010). Dionne, Georges ; Franois, Pascal ; Chun, Olfa Maalaoui.
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  142. Portfolio Risk Analysis. (2010). Connor, Gregory ; Korajczyk, Robert A ; Goldberg, Lisa R.
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  143. Panel Data Models with Unobserved Multiple Time- Varying Effects to Estimate Risk Premium of Corporate Bonds. (2010). Kneip, Alois ; Bada, Oualid .
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  144. Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure. (2010). Chen, Hui.
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  145. Corporate Bond Default Risk: A 150-Year Perspective. (2010). Strebulaev, Ilya ; Longstaff, Francis ; Schaefer, Stephen ; Giesecke, Kay .
    In: NBER Working Papers.
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  146. Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.. (2010). Helwege, Jean ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
    In: NBER Working Papers.
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  147. The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions. (2010). Podpiera, Jiri ; Ötker-Robe, Inci ; Otker, Inci.
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  148. Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the global CDS market. (2010). Remolona, Eli ; Loretan, Mico ; Kim, Don H..
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:21:y:2010:i:3:p:314-326.

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  149. The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market. (2010). Frhwirth, Manfred ; Sgner, Leopold ; Schneider, Paul.
    In: European Financial Management.
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  150. The pricing of government-guaranteed bank bonds. (2010). Zaghini, Andrea ; Levy, Aviram .
    In: Temi di discussione (Economic working papers).
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  151. An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil. (2010). Guazzarotti, Giovanni ; Di Cesare, Antonio.
    In: Temi di discussione (Economic working papers).
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  152. The Dynamics of the Credit Spread and Monetary Policy. (2009). Kim, David.
    In: Journal of Emerging Market Finance.
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  153. Credit Spread Changes within Switching Regimes. (2009). Dionne, Georges ; Maalaoui, Olfa ; Franois, Pascal.
    In: Cahiers de recherche.
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  154. A framework for assessing the systemic risk of major financial institutions. (2009). Zhou, Hao ; Zhu, Haibin ; Huang, Xin.
    In: Finance and Economics Discussion Series.
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  155. Do central bank liquidity facilities affect interbank lending rates?. (2009). Rudebusch, Glenn ; Lopez, Jose ; Christensen, Jens ; GlennD. Rudebusch, ; Jens H. E. Christensen, .
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  156. A framework for assessing the systemic risk of major financial institutions. (2009). Zhou, Hao ; Zhu, Haibin ; Huang, Xin.
    In: Journal of Banking & Finance.
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  157. Systematic equity-based credit risk: A CEV model with jump to default. (2009). Sbuelz, Alessandro ; Polbennikov, Simon ; Campi, Luciano .
    In: Journal of Economic Dynamics and Control.
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  158. An economic capital model integrating credit and interest rate risk in the banking book. (2009). Drehmann, Mathias ; Alessandri, Piergiorgio.
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  159. Contagion and Risk in the Amplification of Crisis : Evidence from Asian Names in the CDS Market. (2009). Remolona, Eli ; Loretan, Mico ; Kim, Don H..
    In: EABER Working Papers.
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  160. A Non-Parametric Investigation of Risk Premia. (2009). Peroni, Chiara.
    In: Studies in Nonlinear Dynamics & Econometrics.
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  161. The determinants of option-adjusted delta credit spreads : a comparative analysis of the United States, the United Kingdom and the euro area. (2009). HASAN, IFTEKHAR ; Becchetti, Leonardo ; Carpentieri, Andrea .
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  162. A Framework for Assessing the Systemic Risk of Major Financial Institutions. (2009). Zhou, Hao ; Zhu, Haibin ; Huang, Xin.
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  163. Linking credit risk premia to the equity premium. (2008). Kaserer, Christoph ; Berg, Tobias.
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  164. Combination notes: market segmentation and equity transfer. (2008). Schaber, Albert.
    In: Discussion Papers in Business Administration.
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  165. Einflussfaktoren auf den Credit Spread von Unternehmensanleihen. (2008). Laut, Amelie ; Gann, Philipp .
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  166. Combination notes: market segmentation and equity transfer. (2008). Schaber, Albert.
    In: Discussion Papers in Business Administration.
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  167. Modeling the Dynamics of Credit Spreads with Stochastic Volatility. (2008). Jacobs, Kris ; Li, Xiaofei.
    In: Management Science.
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  168. A ratings-based approach to measuring sovereign risk. (2008). Wu, Eliza ; Scatigna, Michela ; Remolona, Eli.
    In: International Journal of Finance & Economics.
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  169. Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices. (2008). Wei, Min ; D'Amico, Stefania ; Kim, Don H..
    In: Finance and Economics Discussion Series.
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  170. The corporate bond credit spread puzzle. (2008). Christensen, Jens.
    In: FRBSF Economic Letter.
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  171. Some determinants of the price of default risk. (2008). Anderson, Ronald W..
    In: LSE Research Online Documents on Economics.
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  172. Decomposing swap spreads. (2008). Lando, David ; Feldhutter, Peter.
    In: Journal of Financial Economics.
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  173. Operational risk. (2008). Jarrow, Robert.
    In: Journal of Banking & Finance.
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  174. Individual stock-option prices and credit spreads. (2008). Driessen, Joost ; Weinbaum, David ; Maenhout, Pascal ; Cremers, Martijn.
    In: Journal of Banking & Finance.
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  175. Determinants of yield spread dynamics: Euro versus US dollar corporate bonds. (2008). Van Landschoot, Astrid .
    In: Journal of Banking & Finance.
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  176. Firm heterogeneity and credit risk diversification. (2008). Schuermann, Til ; Pesaran, M ; Hanson, Samuel.
    In: Journal of Empirical Finance.
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  177. An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press). (2007). Realdon, Marco.
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  178. A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Pres. (2007). Realdon, Marco.
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  179. Forecasting bankruptcy and physical default intensity. (2007). Zhou, Ping.
    In: LSE Research Online Documents on Economics.
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  180. Liquidation triggers and the valuation of equity and debt. (2007). Wiener, Zvi ; Raviv, Alon ; Galai, Dan.
    In: Journal of Banking & Finance.
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  181. Benchmark Status in Fixed‐Income Asset Markets. (2007). Portes, Richard ; Moore, Michael ; Dunne, Peter.
    In: Journal of Business Finance & Accounting.
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  182. Interpreting sovereign spreads. (2007). Wu, Eliza ; Scatigna, Michela ; Remolona, Eli.
    In: BIS Quarterly Review.
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  183. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence.
    In: Foundations and Trends(R) in Finance.
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  184. Portfolio optimization with a defaultable security. (2006). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:13:y:2006:i:2:p:113-127.

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  185. Capital structure, credit risk, and macroeconomic conditions. (2006). Miao, Jianjun ; Hackbarth, Dirk ; Morellec, Erwan.
    In: Journal of Financial Economics.
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  186. An approximation method for analysis and valuation of credit correlation derivatives. (2006). Esteghamat, Kian ; Egami, Masahiko.
    In: Journal of Banking & Finance.
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  187. CREDIT RISK MODELS IV: UNDERSTANDING AND PRICING CDOs. (2006). Elizalde, Abel.
    In: Working Papers.
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  188. CREDIT RISK MODELS I: DEFAULT CORRELATION IN INTENSITY MODELS. (2006). Elizalde, Abel.
    In: Working Papers.
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  189. Estimating the Term Structure of Credit Spreads on Euro‐denominated Corporate Bonds. (2006). Terazzan, Ombretta.
    In: Economic Notes.
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  198. Risk aversion and risk premia in the CDS market. (2005). Amato, Jeffery D.
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  199. The European Bond Markets under EMU. (2004). von Thadden, Ernst-Ludwig ; Pagano, Marco.
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  200. The Determinants of Credit Default Swap Premia. (2004). Ericsson, Jan ; Jacobs, Kris ; Oviedo-Helfenberger, Rodolfo.
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  201. The Determinants of Credit Default Swap Premia. (2004). Ericsson, Jan ; Jacobs, Kris ; Oviedo, Rodolfo A..
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  203. On Correlation Effects and Default Clustering in Credit Models. (). Berndt, Antje ; Sun, Zhiqiang ; Ritchken, Peter .
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