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Are banks different? : evidence form the CDS market
Raunig, Burkhard; Scheicher, Martin - 2009
Persistent link: https://www.econbiz.de/10003810904
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The credit default swap market and the settlement of large defaults
Coudert, Virginie; Gex, Mathieu - 2010
Persistent link: https://www.econbiz.de/10008748212
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Pricing default risk : the good, the bad, and the anomaly
Ferreira Filipe, Sara; Grammatikos, Theoharry; Michala, … - 2014
While empirical literature has documented a negative relation between default risk and stock returns, the theory …
Persistent link: https://www.econbiz.de/10011861135
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Contagion in the credit default swap market : the case of the GM and Ford crisis in 2005
Coudert, Virginie (contributor); Gex, Mathieu (contributor) - 2008
Persistent link: https://www.econbiz.de/10003750642
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Is climate transition risk priced into corporate credit risk? : evidence from credit default swaps
Ugolini, Andrea; Reboredo, Juan Carlos; Ojea-Ferreiro, … - 2023
We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of firms. Using …
Persistent link: https://www.econbiz.de/10014230422
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Economic policy uncertainty and the volatility of sovereign CDS spreads
Raunig, Burkhard - 2018
Persistent link: https://www.econbiz.de/10011820277
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Impact of QE on European sovereign bond market
Martin, Franck; Zhang, Jiangxingyun - 2017
Persistent link: https://www.econbiz.de/10011712977
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Endogenous debt maturity : liquidity risk vs. default risk
Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018
Persistent link: https://www.econbiz.de/10011950510
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The interactions between the credit default swap and the bond markets in financial turmoil
Coudert, Virginie; Gex, Mathieu - 2011
Persistent link: https://www.econbiz.de/10009377832
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Credit risk in general equilibrium
Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - 2011
Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk: probability of default, exposure at default and the recovery...
Persistent link: https://www.econbiz.de/10009385153