Search Results - person:"Benzschawel, Terry"

Gradient boosting model for corporate default

Benzschawel, Terry; Menon, Prahlad G.; Assing, Andrew - In: The journal of fixed income : JFI 33 (2023) 3, pp. 64-74

Persistent link: https://www.econbiz.de/10014533799

An Empirical Analysis of Segmented Pricing of Bond Systematic Risk

Benzschawel, Terry; Fu, Liang; Murphy, Austin - In: Credit and Capital Markets – Kredit und Kapital 47 (2014) 3, pp. 439-464

This research investigates the existence of segmentation in the market for fixed-income securities. Evidence is found of higher yield spreads being required for non-distressed bonds making larger contributions to the risk of pure debt portfolios over the 2003–2011 period. Abnormal returns...

Persistent link: https://www.econbiz.de/10014523589

Credit modelling : advanced topics

Benzschawel, Terry - 2017

Persistent link: https://www.econbiz.de/10013550380

Early warning signals and systems for liquidity risk

Benzschawel, Terry - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 6-26

Persistent link: https://www.econbiz.de/10010526462

An empirical examination of ex ante estimates of the market risk premium

Murphy, Austin; Fu, Liang; Benzschawel, Terry - In: The journal of investing 23 (2014) 2, pp. 51-58

Persistent link: https://www.econbiz.de/10011313428

An empirical analysis of segmented pricing of bond systematic risk

Benzschawel, Terry; Fu, Liang; Murphy, Austin - In: Credit and capital markets : Kredit und Kapital 47 (2014) 3, pp. 439-464

Persistent link: https://www.econbiz.de/10010433255

Summary of "an empirical analysis of priced systematic risk on bonds and market segmentation"

Murphy, Austin; Benzschawel, Terry; Fu, Liang - In: Proceedings of the Second International Conference on …, (pp. 116-119). 2014

Persistent link: https://www.econbiz.de/10011388084

An Empirical Analysis of Segmented Pricing of Bond Systematic Risk

Benzschawel, Terry; Fu, Liang; Murphy, Austin - In: Credit and Capital Markets 47 (2014) 3, pp. 439-464

This research investigates the existence of segmentation in the market for fixedincome securities. Evidence is found of higher yield spreads being required for non-distressed bonds making larger contributions to the risk of pure debt portfolios over the 2003–2011 period. Abnormal returns...

Persistent link: https://www.econbiz.de/10011096057

Inferring default probabilities from credit spreads

Benzschawel, Terry; Assing, Andrew - In: The journal of fixed income 21 (2012) 4, pp. 13-24

Persistent link: https://www.econbiz.de/10009670765

Pricing corporate loans under the risk-neutral measure

Benzschawel, Terry; DaGraca, Julio; Lee, Cheng-yen - In: The journal of credit risk : published quarterly by … 8 (2012) 1, pp. 29-62

Persistent link: https://www.econbiz.de/10009539245