Resource Center

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Credit

Managing Credit Risk via Equity Options Using Put Options to Hedge Credit Risk

Authors: Raphael Douady
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Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

Authors: Jorge A. Chan-Lau, Yoon Sook Kim
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What Drives Corporate Bond Market Betas?

Authors: Abhay Abhyankar, Angelica Gonzalez
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The Comovement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis

Authors: Lars Norden, Martin Weber
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An Empirical Comparison of Credit Spreads Between the Bond Market and the Credit Default Swap Market

Authors: Haibin Zhu
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Credit Derivatives: The State of the Art, Presentation for World Business Strategies

Authors: Raphael Douady
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A Rating-based Model for Credit Derivatives, European Investment Review, vol 1, 2002.

Authors: Raphael Douady and Monique Jeanblanc
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A Rating-based Model for Credit Derivatives, Conference

Authors: Raphael Douady Riskdata presentation
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The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements

Authors: John Hull, Mirela Predescu, and Alan White
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The Calibration of Rating Migration Probability Matrices

Authors: Raphael Douady
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“This is a challenging and exciting time. Risk managers and senior executives should be seeking more from risk management. Their role needs to evolve as financial institutions increasingly recognize the opportunities and value of a better understanding of risk.”

Phil Rivett
PricewaterhouseCoopers UK