Modeling Term Structures of Swap Spreads
By Hua He. 2000
67 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/cfeb611555c012d9f4c4121392b94606b1254aac
How researchers see this paper
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In Finance
- Dilip B Madan 5
- Jun Liu
- Francis A. Longstaff
- Ravit E. Mandell
- Gurdip Bakshi
- V. Todorov
- Liuren Wu
- Peter P. Carr
Citations in the corpus
- Decomposing Swap Spreads (2008, unknown): “Because the log-likelihood function is misspecified for non-Gaussian models, a robust estimate of the variance-covariance matrix can be found using White (1982) as”
- The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (2000, unknown): “Another important related paper is He (2000) who independently uses a multi-factor affine term structure framework similar to ours in modeling swap spreads.”
- Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates (2001, background): “…Duffie and Singleton (1997), Elton, Gruber, Agrawal, and Mann (2001), Ericsson, Jacobs, and Oviedo-Helfenberger (2004), Ericsson and Renault (2005), He (2000), Janosi, Jarrow, and Yildirim (2002), Jarrow, Lando, and Yu (2005), Liu, Longstaff, and Mandell (2006), Longstaff, Mithal, and Neis (2005),…”
- Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, unknown): “Following Duffie and Huang (1996), Duffie and Singleton (1997), Minton (1997), He (2000), Grinblatt (2001), Liu, Longstaff, and Mandell (2004), and many others, we abstract from the issue of counterparty credit risk in this analysis.”
- The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks (2004, methodology): “The objective of our paper is to estimate the values of the liquidity and default processes underlying swap spreads, and then identify the risk premia associated with these processes. To this end, our approach is to use data that allows these processes to be identified separately. Specifically, we u”