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Credit volatility indexes
Mele, Antonio; Obayashi, Yoshiki - 2020 - This version: October 19, 2020
Persistent link: https://www.econbiz.de/10012419450
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Exploring the components of credit risk in credit default swaps
Fabozzi, Frank J.; Cheng, Xiaolin; Chen, Ren-Raw - In: Finance research letters 4 (2007) 1, pp. 10-18
Persistent link: https://www.econbiz.de/10003442040
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Countercyclical foreign currency borrowing : Eurozone firms in 2007-2009
Bacchetta, Philippe; Merrouche, Ouarda - 2015
disruptions in the FX swap market caused a rise in dollar borrowing from US banks, especially for firms in export-oriented sectors …
Persistent link: https://www.econbiz.de/10011507853
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The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps
Shaw, Frances; Murphy, Finbarr; O'Brien, Fergal - In: Research in international business and finance 30 (2014), pp. 348-368
Persistent link: https://www.econbiz.de/10010391732
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Is Thailand's credit default swap market linked to bond and stock markets? : evidence from the term structure of credit spreads
Boonlert Jitmaneeroj - In: Research in international business and finance 46 (2018), pp. 324-341
Persistent link: https://www.econbiz.de/10011983668
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Credit default swaps and regulatory capital relief : evidence from European banks
Thornton, John; Di Tommaso, Caterina - In: Finance research letters 26 (2018), pp. 255-260
Persistent link: https://www.econbiz.de/10012005692
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Debt market illiquidity and correlated default risk
Javadi, Siamak; Mollagholamali, Mohsen - In: Finance research letters 26 (2018), pp. 266-273
Persistent link: https://www.econbiz.de/10012005695
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Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula
Harb, Etienne; Louhichi, Wael - In: Research in international business and finance 39 (2017), pp. 963-975
Persistent link: https://www.econbiz.de/10011912420
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Sovereign and bank interdependencies : evidence from the CDS market
Yu, Sherry - In: Research in international business and finance 39 (2017), pp. 68-84
Persistent link: https://www.econbiz.de/10011876438
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Interest rate swaps clearing and systemic risk
Bakoush, Mohamed; Gerding, Enrico H.; Wolfe, Simon - In: Finance research letters 33 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012430949