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Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
Longstaff, Francis A. - 2004
We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the...
Persistent link: https://www.econbiz.de/10012785748
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The valuation of stochastic insurance liabilities using a structural model approach
Kanno, Masayasu - In: Journal of financial engineering 2 (2015) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10010528378
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Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty
Yang, Yifan; Fabozzi, Frank J.; Bianchi, Michele Leonardo - In: Journal of financial engineering 2 (2015) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10010528392
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Dynamic alpha-stable method for CDO pricing
Li, Hua; Yuan, George; Chen, Weina; Guo, Li; Zhao, Jianbin - In: Journal of financial engineering 1 (2014) 3, pp. 1-16
Persistent link: https://www.econbiz.de/10010508001
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Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method
Nakagawa, Hidetoshi; Takada, Hideyuki - In: Journal of financial engineering 1 (2014) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10010508007
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The economic default time and the arcsine law
Guo, Xin; Jarrow, Robert A.; Larrard, Adrien de - In: Journal of financial engineering 1 (2014) 3, pp. 1-18
Persistent link: https://www.econbiz.de/10010508010
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Intercorporate default contagion from industry failures : stress testing on creditee linkage networks of China
Yang, Mingmin; Gao, Haoyu; Cao, Zhigang; Yang, Xiaoguang - In: Journal of financial engineering 1 (2014) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10010508075
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A methodology for allocating allowance for loan and lease losses (ALLL) under new regulatory environment
Yang, Yimin; Du, Fang; Zhou, Weixin - In: Journal of financial engineering 1 (2014) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010508088
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Transition probability matrix methodology for incremental risk charge
Yavin, Tzahi; Wang, Eugene; Zhang, Hu; Clayton, Michael A. - In: Journal of financial engineering 1 (2014) 1, pp. 1-47
Persistent link: https://www.econbiz.de/10010508091
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The framework of systemic risk related to contagion, recovery rate and capital requirement in an interbank network
Ren, Xuemin; Yuan, George; Jiang, Lishang - In: Journal of financial engineering 1 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010508121