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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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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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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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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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Credit risk spillovers among financial institutions around the global credit crisis : firm-level evidence
Yang, Jian; Zhou, Yinggang - In: Management science : journal of the Institute for … 59 (2013) 10, pp. 2343-2359
Persistent link: https://www.econbiz.de/10010202770
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Central counterparty exposure in stressed markets
Huang, Wenqian; Menkveld, Albert J.; Yu, Shihao - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3596-3617
Persistent link: https://www.econbiz.de/10012606958
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The double trigger for mortgage default : evidence from the fracking boom
Cunningham, Christopher R.; Gerardi, Kristopher; Shen, Lily - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3943-3964
Persistent link: https://www.econbiz.de/10012607214
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Stress testing household debt
Bhutta, Neil; Bricker, Jesse; Dettling, Lisa J.; … - In: The journal of credit risk : published quarterly by … 16 (2020) 3, pp. 1-34
Persistent link: https://www.econbiz.de/10012421176
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Bankcard performance during the great recession : a consumer-level analysis
Calem, Paul Seth; Jagtiani, Julapa; Mester, Loretta J. - In: The journal of credit risk : published quarterly by … 16 (2020) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10012494771
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The impact on loan-to-value on the default rate of residential mortgage-backed securities
Otero-González, Luis; Durán-Satomil, Pablo; … - In: The journal of credit risk : published quarterly by … 12 (2016) 3, pp. 1-13
Persistent link: https://www.econbiz.de/10011642638