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The impact of the Federal Reserve's Large-Scale Asset Purchase Programs on corporate credit risk
Gilchrist, Simon; Zakrajšek, Egon - 2013
Persistent link: https://www.econbiz.de/10009790265
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A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information
Kwon, Tae Yeon - In: The journal of risk model validation 10 (2016) 3, pp. 21-48
Persistent link: https://www.econbiz.de/10011587693
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Distribution specific dependence and causality between industry-level U.S. credit and stock markets
Shahzad, Syed Jawad Hussain; Mensi, Walid; Hammoudeh, … - In: Journal of international financial markets, … 52 (2018), pp. 114-133
Persistent link: https://www.econbiz.de/10011986230
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Quantifying liquidity and default risks of corporate bonds over the business cycle
Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - In: The review of financial studies 31 (2018) 3, pp. 852-897
Persistent link: https://www.econbiz.de/10011925272
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Quantifying liquidity and default risks of corporate bonds over the business cycle
Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - 2014
Persistent link: https://www.econbiz.de/10010440778
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Elliptical and archimedean copula models : an application to the price estimation of portfolio credit derivatives
Umeorah, Nneka; Mashele, Phillip; Ehrhardt, Matthias - In: The journal of credit risk : published quarterly by … 17 (2021) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10012519958
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Increment variance reduction techniques with an application to multi-name credit derivatives
Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: Computational economics 55 (2020) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10012222571
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European systemic credit risk transmission using Bayesian networks
Ballester, Laura; López, Jesúa; Pavia, José Manuel - In: Research in international business and finance 65 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014432478
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Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
Hager, Svenja (contributor) - 2008
Svenja Hager aims at pricing non-standard illiquid portfolio credit derivatives which are related to standard CDO tranches with the same underlying portfolio of obligors. Instead of assuming a homogeneous dependence structure between the default times of different obligors, as it is assumed in...
Persistent link: https://www.econbiz.de/10013521042
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Creditwatches and their impact on financial markets
Kiesel, Florian - In: The journal of credit risk : published quarterly by … 13 (2017) 1, pp. 47-71
Persistent link: https://www.econbiz.de/10011670750