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Modelling sovereign credit spreads with international macro-factors : the case of Brazil 1998 - 2009

Liu, Zhuoshi; Spencer, Peter D. - In: Journal of banking & finance 37 (2013) 2, pp. 241-256

Persistent link: https://www.econbiz.de/10009705703

A leverage ratio rule for capital adequacy

Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976

Persistent link: https://www.econbiz.de/10009708725

Systemic risk contributions : a credit portfolio approach

Puzanova, Natalia; Düllmann, Klaus - In: Journal of banking & finance 37 (2013) 4, pp. 1243-1257

Persistent link: https://www.econbiz.de/10009719795

Guarantees, transparency and the interdependency between sovereign and bank default risk

König, Philipp Johann; Anand, Kartik; Heinemann, Frank - In: Journal of banking & finance 45 (2014), pp. 321-337

Persistent link: https://www.econbiz.de/10010467894

Global credit risk : world, country and industry factors

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2015

This paper investigates the dynamic properties of systematic default risk conditions for firms from different countries, industries, and rating groups. We use a high-dimensional nonlinear non-Gaussian state space model to estimate common components in corporate defaults in a 41 country sample...

Persistent link: https://www.econbiz.de/10010484886