Bibliography

Credit Derivatives

Chi Chiu Chu and Yue Kuen Kwok. “No Arbitrage Approach to Pricing Credit Spread Derivatives.” The Journal of Derivatives, Vol. 10, No. 3(Spring 2003): 51–64.

Chen, Ren-Raw, F. J. Fabbozzi, Ging-Ging Pan and R. Sverdlove. “Sources of Credit Risk.” The Journal of Fixed Income, Vol. 16, No. 3(Winter 2006): 7–21.

Choudhry, M. “Revisiting the Credit Default Swap Basis.” Journal of Structured Finance, Vol. 11, No. 4(Winter 2006): 21–32.

Daniels, K. and M. S. Jensen. “The Effect of Credit Ratings on Credit Default Swap Spreads and Credit Spreads.” The Journal of Fixed Income, Vol. 15, No. 3(December 2005): 16–33.

Das, S. R. “Credit Risk Derivatives.” The Journal of Derivatives, Vol. 2, No. 3(Spring 1995): 7–23.

Das, ...

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