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Conditional fixed income correlations : skews and straddles
Aydemir, Zava - In: The journal of fixed income : JFI 30 (2021) 3, pp. 83-107
Persistent link: https://www.econbiz.de/10012423029
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - In: Journal of econometrics 195 (2016) 2, pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
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Financial econometrics and systemic risk
Eratalay, M. Hakan - In: Handbook of research on emerging theories, models, and …, (pp. 65-91). 2021
In this chapter, some of the many prominent and recent papers in the systemic risk literature are reviewed. In all these papers, financial econometrics methods are used whether to extract the connections between institutions or assets by analyzing the related data or to construct a measure of...
Persistent link: https://www.econbiz.de/10012604203
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Rise and fall of synthetic CDO market : lessons learned
Jabłecki, Juliusz - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-28
Persistent link: https://www.econbiz.de/10011787469
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Time-varying correlation in housing prices
Zimmer, David M. - In: The journal of real estate finance and economics 51 (2015) 1, pp. 86-100
Persistent link: https://www.econbiz.de/10011474934
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Do correlated defaults matter for CDS premia?
Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224
Persistent link: https://www.econbiz.de/10011477301
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Systematic credit risk in securitised mortgage portfolios
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012659310
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Breaking the spell with credit-easing : self-confirming credit crises in competitive search economies
Gaballo, Gaetano; Marimon, Ramon - 2016
Persistent link: https://www.econbiz.de/10011449974
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A market based solution for fire sales and other pecuniary externalities
Kilenthong, Weerachart T.; Townsend, Robert M. - 2016
Persistent link: https://www.econbiz.de/10011452635
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The collateral composition channel
Boissay, Frédéric; Cooper, Russell W. - In: American economic journal : a journal of the American … 12 (2020) 1, pp. 41-75
Persistent link: https://www.econbiz.de/10012173911