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Analysis of CDS Spread Fluctuations with an Application to the Negative Basis Arbitrage

https://doi.org/10.2139/ssrn.3420656
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9/9 checkable references clean · checked 2026-08-28

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

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The 9 checked references that resolve
resolves10.1093/rfs/hhn044
Forecasting Default with the Merton Distance to Default Model
resolves10.1086/260062
The Pricing of Options and Corporate Liabilities
resolves10.1239/jap/1110381373
Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
resolves10.1111/j.1467-9965.1994.tb00055.x
MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
resolves10.1016/j.jbankfin.2017.04.007
An analysis of simultaneous company defaults using a shot noise process
resolves10.1016/j.jbankfin.2013.12.005
The determinants of CDS spreads
resolves10.1016/j.jbankfin.2004.09.007
Measuring systemic risk: A risk management approach
resolves10.1007/s11147-017-9134-6
The determinants of CDS spreads: evidence from the model space
resolves10.1016/j.intfin.2018.02.002
What drives corporate CDS spreads? A comparison across US, UK and EU firms
The 9 references without a DOI — listed, not checked
no DOI — not checkedref1
no DOI — not checkedref2
no DOI — not checkedref5
no DOI — not checkedref6
no DOI — not checkedCorrection: Maximum likelihood estimation using price data of the derivative contract
no DOI — not checkedref10
no DOI — not checkedref12
no DOI — not checkedref14
no DOI — not checkedOn the pricing of corporate debt: The risk structure of interest rates
What this badge says. CiteStamped means the CHECKABLE references of this work were clean at the dated check: each resolved to a known work in a public registry, and none carried a retraction notice at that time. It says nothing about the quality, findings, or importance of the work itself, and nothing about references deposited without a DOI.

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