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

Title Author(s)

Risk-adjusted forecasts of oil prices

European Central Bank Working papers [View] (Paper: 0999, 29.01.2009)

JEL: E37, E44, G13, Q4

Specification Analysis of Structural Credit Risk Models

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2008-55, 18.11.2008)

JEL: C51, C52, G12, G13

A value at risk analysis of cedit default swaps

European Central Bank Working papers [View] (Paper: 0968, 17.11.2008)

JEL: E43, G12, G13

Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2008-40, 13.09.2008)

JEL: G12, G13, G14

The ABX: how do the markets price subprime mortgage risk?

Bank for International Settlements Quarterly Review [View] (Paper: 0809h, 01.09.2008)

JEL: E43, G12, G13, G14

A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach

Hong Kong Monetary Authority Working Papers [View] (Paper: WP08_09, 02.07.2008)

JEL: F31, G13

How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches

European Central Bank Working papers [View] (Paper: 0910, 02.07.2008)

JEL: E43, G12, G13

Credit derivatives and structured credit: the nascent markets of Asia and the Pacific

Bank for International Settlements Quarterly Review [View] (Paper: 0806g, 09.06.2008)

JEL: G12, G13, G15

Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model

IJCB International Journal of Central Banking [View] (Paper: 08q2a4, 02.06.2008)

JEL: C15, G13, G21, G28

The pricing of correlated default risk: evidence from the credit derivatives market

Deutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2008/09, 30.05.2008)

JEL: C15, G12, G13

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