The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Measuring Default Risk Premia from Default Swap Rates and EDFs
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
Credit spreads and business cycle fluctuations
Gilchrist, S., & Zakrajšek, E. (2012) · American Economic Review · doi:10.1257/aer.102.4.1692 · Cited by 2,213
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
LONGSTAFF, F. A., MITHAL, S., & NEIS, E. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00797.x · Cited by 2,087
He, Z., & Krishnamurthy, A. (2013) · American Economic Review · doi:10.1257/aer.103.2.732 · Cited by 1,368
The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis
Norden, L., & Weber, M. (2009) · European Financial Management · doi:10.1111/j.1468-036x.2007.00427.x · Cited by 526
On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle
Chen, L., Collin-Dufresne, P., & Goldstein, R. S. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn078 · Cited by 447
Metadata
- Authors
- Berndt, A., Douglas, R., Duffie, D., Ferguson, M., & Schranz, D.
- Venue
- SSRN Electronic Journal
- Publisher
- Elsevier BV
- Published
- 2004
- ISSN
- 1556-5068 (ISSN-L)
- OpenAlex
- W1629883981
- Cited by
- 415
- References
- 1
- Type
- posted content
- Language
- en
- Open access
- green
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- The paper
- Berndt, A., Douglas, R., Duffie, D., Ferguson, M., & Schranz, D. (2004). Measuring Default Risk Premia from Default Swap Rates and EDFs. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.556080
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
