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Recent Developments in Credit Markets

Author

Listed:
  • Bernd Brommundt
  • Jochen Felsenheimer
  • Philip Gisdakis
  • Michael Zaiser

Abstract

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Suggested Citation

  • Bernd Brommundt & Jochen Felsenheimer & Philip Gisdakis & Michael Zaiser, 2006. "Recent Developments in Credit Markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(2), pages 221-234, June.
    • Handle: RePEc:kap:fmktpm:v:20:y:2006:i:2:p:221-234
    DOI: 10.1007/s11408-006-0017-3
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    References listed on IDEAS

    as
    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    2. Young Ho Eom, 2004. "Structural Models of Corporate Bond Pricing: An Empirical Analysis," The Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 499-544.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Günter Franke & Julia Hein, 2008. "Securitization of mezzanine capital in Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(3), pages 219-240, September.
    2. Nikolas Rokkanen, 2009. "Lemmings in the bond market? An empirical analysis of the term structure of credit spreads," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(1), pages 31-57, March.
    3. Marius Hofert & Matthias Scherer & Rudi Zagst, 2010. "Modeling the evolution of implied CDO correlations," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(3), pages 289-308, September.

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    More about this item

    Keywords

    Credit risk; Correlation risk; Capital structure arbitrage; Credit derivative risk; G13; G33;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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