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Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach
Toyoshima, Yuki; Hamori, Shigeyuki - In: Applied financial economics 22 (2012) 10/12, pp. 849-862
Persistent link: https://www.econbiz.de/10009625006
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Estimating the risk premium of swap spreads. : two econometric GARCH-based techniques
Castagnetti, Carolina - In: Applied financial economics 14 (2004) 2, pp. 93-104
Persistent link: https://www.econbiz.de/10001908577
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Parallel exchange market as a transition mechanism for foreign exchange reform : China's experiment
Lu, Maozu; Zhang, Zhichao - In: Applied financial economics 10 (2000) 2, pp. 123-135
Persistent link: https://www.econbiz.de/10001525825
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Regime changes in sub-prime margins under the US housing bubble
Sarmiento, Camilo - In: Applied financial economics 19 (2009) 1/3, pp. 175-182
Risk-based pricing is an alignment of loan risk pricing with expected loan risk - charging a higher interest rate for higher risk (Yezer, 2002). This article shows systematic relaxation of risk pricing for sub-prime loans during the US housing bubble, a period that extended from 2001 to 2006....
Persistent link: https://www.econbiz.de/10003825857
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Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions
Papenbrock, Jochen; Račev, Svetlozar T.; … - In: Applied financial economics 19 (2009) 16/18, pp. 1401-1416
The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity …
Persistent link: https://www.econbiz.de/10003886215
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Substitutes versus complements among credit risk management tools
Sackett, Matthew M.; Shaffer, Sherrill - In: Applied financial economics 16 (2006) 14, pp. 1007-1017
Persistent link: https://www.econbiz.de/10003377855
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The put problem with buying toxic assets
Wilson, Linus - In: Applied financial economics 20 (2010) 1/3, pp. 31-35
Persistent link: https://www.econbiz.de/10003935960
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Global capital market interdependence and spillover effect of credit risk : evidence from the 2007 - 2009 global financial crisis
Cheung, William Ming Yan; Fung, Scott; Tsai, Shi-chuan - In: Applied financial economics 20 (2010) 1/3, pp. 85-103
This article examines the impact of the 2007-2009 Global Financial Crisis on the interrelationships among global stock markets and the informational role of the TED spread as perceived credit risk. The current crisis originated from the dominant US market has a prompt and pervasive spillover...
Persistent link: https://www.econbiz.de/10003935980
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Are credit ratings valuable information?
Czarnitzki, Dirk; Kraft, Kornelius - In: Applied financial economics 17 (2007) 13/15, pp. 1061-1070
Persistent link: https://www.econbiz.de/10003590377
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An empirical analysis of structural models of corporate debt pricing
Teixeira, João C. A. - In: Applied financial economics 17 (2007) 13/15, pp. 1141-1165
Persistent link: https://www.econbiz.de/10003590559