'Future volatility' diaporamas de présentation

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How Important Is Option-Implied Volatility for Pricing Credit Default Swaps?

How Important Is Option-Implied Volatility for Pricing Credit Default Swaps?. By Charles Cao, Fan Yu, Zhaodong Zhong Comments by Dan Nuxoll 27 October 2006. Why Volatility?.

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Predicting fixed income credit spread movements

Predicting fixed income credit spread movements. March 1, 2001 Mary Murphy Luisa Rubino Steve Smigie Gigi Widham. Summary. Prediction of direction and magnitude of credit spread movements for: 10-year US Swap Spread spread between US corporate AAA 7-10 year and 10-year Treasury Bond

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