Pricing default events : surprise, exogeneity and contagion
Year of publication: |
2014
|
---|---|
Authors: | Gouriéroux, Christian ; Monfort, Alain ; Renne, Jean-Paul |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 182.2014, 2, p. 397-411
|
Subject: | Credit derivative | Default event | Default intensity | Frailty | Contagion | Credit spread puzzle | Kreditrisiko | Credit risk | Derivat | Derivative | Insolvenz | Insolvency | Unternehmensanleihe | Corporate bond | Zinsstruktur | Yield curve | Kreditderivat | Ansteckungseffekt | Contagion effect | Finanzkrise | Financial crisis | Schätzung | Estimation | Risikoprämie | Risk premium |
Extent: | graph. Darst. |
---|---|
Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Erratum enth. in: Vol. 183.2014, 2 (Nov.), S. 150 |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Can structural models price default risk? : evidence from bond and credit derivative markets
Ericsson, Jan, (2015)
-
A multivariate default model with spread and event risk
Mai, Jan-Frederik, (2014)
-
Credit risk and contagion via self-exciting default intensity
Elliott, Robert J., (2015)
- More ...
-
Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian, (2013)
-
Regime switching and bond pricing
Gouriéroux, Christian, (2013)
-
Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian, (2013)
- More ...