Further Readings
CREDIT DERIVATIVES
Altman, E. I., B. Brady, A. Resti, and A. Sironi, “The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications,” Journal of Business, Vol. 78, No.6 (2005): 2203–28.
Amato, J. D., and E. M. Remolona, “The Credit Spread Puzzle,” BIS Quarterly Review, Vol 5, (Dec. 2003): 51–63
Andersen, L. B. G., J. Sidenius, and S. Basu, “All Your Hedges in One Basket,” Risk, 16, 10 (November 2003): 67–72.
Chi Chiu Chu and Yue Kuen Kwok, “No Arbitrage Approach to Pricing Credit Spread Derivatives.” 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 ...
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