Concept

Credit derivative

Related publications (43)

Energy Business and Finance Policy - Parallels in Methodology and Duties

The ongoing deregulation of electricity markets worldwide has a major impact on the power industry. New price risks require new risk management tools and new methods for the valuation of generation and transmission assets as well as existing (physical) ele ...

Forschung im Verbund2003

Do Credit Spreads Reflect Stationary Leverage Ratios?

Pierre Collin Dufresne

Most structural models of default preclude the firm from altering its capital structure. In practice, firms adjust outstanding debt levels in response to changes in firm value, thus generating mean-reverting leverage ratios. We propose a structural model o ...

2001

The Determinants of Credit Spread Changes

Pierre Collin Dufresne

Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residu ...

2001

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