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~institution:"Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)"
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Search: subject:"Reduced Form Model"
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Credit spread
2
default spread
2
macroeconomic factors
2
reduced form model of default
2
CDS
1
Default risk
1
Markov Switching
1
Markov switching
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Toronto Stock Exchange
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correlations between default probabilities
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credit default swap
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hybrid model
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probit model
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public firm
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random subjective discount factor
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reduced form model
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structural model
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Dionne, Georges
3
Gauthier, Geneviève
2
Hammami, Khemais
2
Maurice, Mathieu
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Simonato, Jean-Guy
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Laajimi, Sadok
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Mejri, Sofiane
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Petrescu, Madalina
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
Research Institute for Economics and Business Administration, Kobe University
2
Departamento de Economía, Facultad de Ciencias Sociales
1
Economics Department, State University of New York-Stony Brook (SUNY)
1
Ehrvervøkonomisk Institut, Institut for Økonomi
1
Frankfurt School of Finance and Management
1
Institut ekonomických studií, Univerzita Karlova v Praze
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Tinbergen Institute
1
Tinbergen Instituut
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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A
Reduced
Form
Model
of Default Spreads with Markov-Switching Macroeconomic Factors
Dionne, Georges
;
Gauthier, Geneviève
;
Hammami, Khemais
; …
-
Centre Interuniversitaire sur le Risque, les Politiques …
-
2010
to explain the proportion of yield spreads caused by the risk of default in the context of a
reduced
form
model
. For this …
Persistent link: https://www.econbiz.de/10008692988
Saved in:
2
A
Reduced
Form
Model
of Default Spreads with Markov Switching Macroeconomic Factors
Dionne, Georges
;
Gauthier, Geneviève
;
Hammami, Khemais
; …
-
Centre Interuniversitaire sur le Risque, les Politiques …
-
2007
yield spreads caused by the risk of default in the context of a
reduced
form
model
. For this purpose, we extend the Markov …
Persistent link: https://www.econbiz.de/10005015288
Saved in:
3
Estimation of the Default Risk of Publicly Traded Canadian Companies
Dionne, Georges
;
Laajimi, Sadok
;
Mejri, Sofiane
; …
-
Centre Interuniversitaire sur le Risque, les Politiques …
-
2006
. This flexibility would not be possible with a
reduced-form
model
. We also conducted a preliminary analysis of correlations …
Persistent link: https://www.econbiz.de/10005067688
Saved in:
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