Central Bank Research Hub - JEL classification G13: Contingent Pricing; Futures Pricing; option pricing

Title Author(s)

Systemic Risk Analysis Using Forward-Looking Distance-to-Default Series

Cleveland Fed Working papers [View] (Paper: 1005, 28.04.2010)

JEL: G01, G13, G21

An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil

Bank of Italy Working Papers [View] (Paper: 749, 09.04.2010)

JEL: G12, G13

The term structure of risk premia: new evidence from the financial crisis,

European Central Bank Working papers [View] (Paper: 1165, 07.04.2010)

JEL: G12, G13

Valuing the Treasury’s Capital Assistance Program

New York Fed Staff reports [View] (Paper: 413, 16.12.2009)

JEL: G01, G13, G21, G28

The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness

Bank of Canada Working papers [View] (Paper: 2009-20, 11.06.2009)

JEL: G12, G13

Credit Default Swap Auctions

New York Fed Staff reports [View] (Paper: 372, 19.05.2009)

JEL: G10, G13, G33

Assessing the Effectiveness of the Paulson "Teaser Freezer" Plan: Evidence from the ABX Index

Richmond Fed Working Papers [View] (Paper: 09-07, 23.04.2009)

JEL: G12, G13, G14, G18, G21

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Bank for International Settlements Working papers [View] (Paper: 279, 31.03.2009)

JEL: E43, G12, G13, G14

A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks

Hong Kong Monetary Authority Working Papers [View] (Paper: WP09_06, 31.03.2009)

JEL: C60, G13, G28

Are Banks Different? Evidence from the CDS Market

Austrian National Bank Working Papers [View] (Paper: WP152, 05.03.2009)

JEL: E43, G12, G13

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