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An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps
This paper analyses the behaviour of credit default swaps (CDS) for a sample of firms and finds support for the theoretical equivalence of CDS prices and credit spreads. When this is violated, theExpand
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An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps
This paper analyses the behaviour of credit default swaps (CDS) for a sample of firms and finds support for the theoretical equivalence of CDS prices and credit spreads. When this is violated, theExpand
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A Network Model of Financial System Resilience
We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a stylised financial system. Systemic instability isExpand
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American Finance Association An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps
We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by Duffle (1999), finding support for the parity relation as an equilibrium condition. We also findExpand
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Species Composition, Monitoring, and Feeding Injury of Stink Bugs (Heteroptera: Pentatomidae) in Blackberry
ABSTRACT Blackberry (Rubus spp.) production in Florida has increased >100% within the past two decades, and several insect pests, including stink bugs (Heteroptera: Pentatomidae), have beenExpand
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Andrew Haldane : The contribution of the financial sector – miracle or mirage ?
We would like to thank Stephen Burgess, Melissa Davey, Rob Elder, Perry Francis, Jen Han, Sam Knott, Nick Oulton, Peter Richardson, Jeremy Rowe, Chris Shadforth, Sally Srinivasan and Iain de WeymarnExpand
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SPEAR3 Workshop: Making the Scientific Case: Report from Workshop held at Stanford Synchrotron Radiation Laboratory, May 29-30, 1997
As part of the planning process for the proposed upgrade to the SPEAR electron storage ring, SSRL, the SSRL Users Organization and the SSRL faculty sponsored a 1 1/2 day workshop on May 29-30 1997.Expand
Working Paper No . 458 A network model of financial system resilience
We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a stylised financial system. Systemic instability isExpand
A Network Model of Financial System Resilience
We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a stylised financial system. Systemic instability isExpand
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