Solutions are presented for prices on interest rate options in a two-factor version of the Cox–Ingersoll–Ross
model of the term structure. Specific solutions are developed for caps on …

This paper presents a flexible, lattice-based structural credit risk model that uses equity market
information and a detailed depiction of a financial institution’s liability structure to analyze …

This paper examines the interaction between default risk and interest-rate risk in determining
the term structure of credit default swap spreads at different industry sectors and credit-…

We document the ability of the credit default swap (CDS) market to anticipate favorable as
well as unfavorable credit rating change (RC) announcements based on more extensive …

Using a large data set on credit default swaps, we study how default risk interacts with
interest-rate risk and liquidity risk to jointly determine the term structure of credit spreads. We …

This paper presents a method for estimating multi-factor versions of the Cox-Ingersoll-Ross (1985b)
model of the term structure of interest rates. The fixed parameters in one, two, and …

An essential guide to credit derivatives Credit derivatives has become one of the fastest-growing
areas of interest in global derivatives and risk management. Credit Derivatives takes …

With the recent significant growth in the single-name credit default swap (CDS) market has
come the need for accurate and computationally efficient models to value these instruments. …

In this paper, we study inflation risk and the term structure of inflation risk premia in the
United States' nominal interest rates through the Treasury Inflation Protection Securities (TIPS) …

In this paper, we test the influence of various fundamental variables on the pricing of credit
default swaps. The theoretical determinants that are important for pricing credit default swaps …