1.
PDF
wp08-1
Default Dependence: The Equity Default Relationship
Turnbull, Stuart ; Yang, Jun
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in th[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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wp04-45
Modelling the Evolution of Credit Spreads in the United States
Turnbull, Stuart ; Yang, Jun
The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different cr[...]
2004 | Text | Staff Working Paper - Document de travail du personnel |
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