Narrow search
Showing 1 - 10 of 50
Cover Image
Valuing default swaps under market and credit risk correlation
Jarrow, Robert A.; Yildirim, Yildiray - In: The journal of fixed income 11 (2001) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10001701698
Cover Image
A Markov model for the term structure of credit risk spreads
Jarrow, Robert A. - In: The review of financial studies 10 (1997) 2, pp. 481-523
Persistent link: https://www.econbiz.de/10001220567
Cover Image
Testing for parameter instability across different modeling frameworks
Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
Cover Image
Nowcasting and forecasting global financial sector stress and credit market dislocation
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - In: International journal of forecasting 30 (2014) 3, pp. 741-758
Persistent link: https://www.econbiz.de/10010515585
Cover Image
Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 182 (2014) 2, pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
Cover Image
Decomposing euro-area sovereign spreads : credit and liquidity risks
Monfort, Alain; Renne, Jean-Paul - In: Review of finance : journal of the European Finance … 18 (2014) 6, pp. 2103-2151
Persistent link: https://www.econbiz.de/10011287708
Cover Image
Financial crises and economic growth
Jarrow, Robert A. - In: The quarterly review of economics and finance : journal … 54 (2014) 2, pp. 194-207
Persistent link: https://www.econbiz.de/10010466553
Cover Image
Global credit risk : world, country and industry factors
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - In: Journal of applied econometrics 32 (2017) 2, pp. 296-317
Persistent link: https://www.econbiz.de/10011689783
Cover Image
Allocating systemic risk in a regulatory perspective
Gouriéroux, Christian; Monfort, Alain - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233265
Cover Image
An analytic approach to credit risk of large corporate bond and loan portfolios
Lucas, André (contributor) - In: Journal of banking & finance 25 (2001) 9, pp. 1635-1664
Persistent link: https://www.econbiz.de/10001603572