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

Title Author(s)

Equity Option-Implied Probability of Default and Equity Recovery Rate

Bank of Canada Working papers [View] (Paper: 2016-58, 16.12.2016)

JEL: G13, G33

The evolution of inflation expectations in euro area markets

Bank of Spain Working Papers [View] (Paper: 1627, 30.11.2016)

JEL: C32, E31, G13

Option-Implied Libor Rate Expectations across Currencies

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 2016-1182, 14.10.2016)

JEL: C14, E43, G13

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2016087, 10.10.2016)

JEL: G12, G13, G24

BTP futures and cash relationships: a high frequency data analysis

Bank of Italy Working Papers [View] (Paper: 1083, 19.09.2016)

JEL: G12, G13, G14

Long-Run Inflation Uncertainty

IJCB International Journal of Central Banking [View] (Paper: 16q3a05, 01.09.2016)

JEL: E31, E44, G13

Contingent convertible bonds with floating coupon payments: fixing the equilibrium problem

Netherlands Bank DNB Working Papers [View] (Paper: 517, 05.08.2016)

JEL: G13, G21, G28

Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD

Bank of Mexico Working Papers [View] (Paper: 2016-11, 01.07.2016)

JEL: C22, C53, C58, G10, G13

Credit risk spillover between financials and sovereigns in the euro area during 2007-2015

European Central Bank Working papers [View] (Paper: 1898, 27.04.2016)

JEL: C45, E44, E65, G01, G13, G28, H81

Risk premia and seasonality in commodity futures

Bank of England Working papers [View] (Paper: swp591, 15.04.2016)

JEL: E43, G13, Q2, Q40

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