CREDIT DERIVATIVES: AN APPRAISAL FOR AUSTRALIAN FINANCIAL INSTITUTIONS

Economic Papers

Volumn 18, Issue 2, 1999, Pages 19-41

  Batten, Jonathan ^b   Hogan, Warren ^a  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b UNIVERSITY OF WESTERN SYDNEY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0042645555     PISSN: 08120439     EISSN: 17593441     Source Type: Journal    
DOI: 10.1111/j.1759-3441.1999.tb00930.x     Document Type: Article

References (11)

1. Audley, D., Chin, R. and S. Ramamurthy (1997), “An Intuitive Approach to Fixed Income Option Valuation”, in F. Fabozzi (ed.), The Handbook of Fixed Income Options, Irwin Singapore.
2. Bank of England (1996), Developing A Supervisory Approach to Credit Derivatives, Bank of England Supervision and Surveillance, Discussion Paper, London, November, p. 4.
3. British Bankers' Association (1996), Credit Derivatives Survey of the London Market, November, London.
4. Fons, Jerome S. (1994). Using Default Rates to Model the Term Structure of Credit Risk, Financial Analysis Journal, 50: 25–32.
5. Green, J., Locke, J. and S. Paul-Choudhury (1998), Strength Through Adversity. Risk. Credit Risk Supplement, March 6–9.
6. Helwege, Jean and Christopher M. Turner (1999). The slope of the Credit Yield Curve for Speculative-Grade Issuers, Journal of Finance, forthcoming.
7. Jarrow, Robert A., Lando, David and Stuart Turnbull (1997). A Markov Model for the Term Structure of Credit Risk Spreads, Review of Financial Studies, 10, pp. 481–522.
8. Merton, Robert C. (1974), On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance, 29, pp. 449–470.
9. Neal, Robert S. (1996), “Credit Derivatives: New Financial Instruments for Controlling Credit Risk,” Federal Reserve Bank of Kansas City, Economic Review, 81 (2), pp. 15–27.
10. Reserve Bank of Australia (1999), “Australian Financial Markets”, Reserve Bank of Australia Bulletin, March.
11. Sarig, Oded and Arthur Warga (1989), Some Estimates of the Risk Structure of Interest Rates, Journal of Finance, 44, pp. 1351–1360.