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Sovereign risk and the pricing of corporate credit default swaps
Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone - In: The journal of credit risk : published quarterly by … 11 (2015) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011298504
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Default ambiguity : credit default swaps create new systemic risks in financial networks
Schuldenzucker, Steffen; Seuken, Sven; Battiston, Stefano - In: Management science : journal of the Institute for … 66 (2020) 5, pp. 1981-1998
Persistent link: https://www.econbiz.de/10012234741
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Contagion in derivatives markets
Paddrik, Mark; Rajan, Sriram; Young, H. Peyton - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3603-3616
Persistent link: https://www.econbiz.de/10012289183
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Optimal credit swap portfolios
Giesecke, Kay; Kim, Baeho; Kim, Jack; Tsoukalas, Gerry - In: Management science : journal of the Institute for … 60 (2014) 9, pp. 2291-2307
Persistent link: https://www.econbiz.de/10010461900
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074
Persistent link: https://www.econbiz.de/10012623900
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Capital regulation in a macroeconomic model with three layers of default
Clerc, Laurent; Derviz, Alexis; Mendicino, Caterina; … - 2015
Persistent link: https://www.econbiz.de/10011349872
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The implications of credit risk modeling for banks’ loan loss provisions and loan-origination procyclicality
Bhat, Gauri; Ryan, Stephen G.; Vyas, Dushyantkumar - In: Management science : journal of the Institute for … 65 (2019) 5, pp. 2116-2141
Persistent link: https://www.econbiz.de/10012039734
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Bank risk, bank bailouts and sovereign capacity during a financial crisis: a cross-country analysis
Schiozer, Rafael Felipe; Mourad, Frederico; Vilarins, … - In: The journal of credit risk : published quarterly by … 14 (2018) 4, pp. 69-96
Persistent link: https://www.econbiz.de/10012041804
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Systemic risk in the financial system : capital shortfalls under Brexit, the US elections and the Italian referendum
Engle, Robert F.; Zazzara, Cristiano - In: The journal of credit risk : published quarterly by … 14 (2018) 4, pp. 97-120
Persistent link: https://www.econbiz.de/10012041807
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Interconnected banks and systemically important exposures
Roncoroni, Alan; Battiston, Stefano; D'Errico, Marco; … - 2019
We study the interplay between two channels of interconnectedness in the banking system. The first one is a direct interconnectedness, via a network of interbank loans, banks' loans to other corporate and retail clients, and securities holdings. The second channel is an indirect...
Persistent link: https://www.econbiz.de/10012132464