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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
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The subprime credit crisis of 2007
Crouhy, Michel; Jarrow, Robert A.; Turnbull, Stuart M. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 81-110
Persistent link: https://www.econbiz.de/10003771466
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A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 4, pp. 510-525
Persistent link: https://www.econbiz.de/10003772293
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Distressed debt prices and recovery rate estimation
Guo, Xin; Jarrow, Robert A.; Lin, Haizhi - In: Review of derivatives research 11 (2008) 3, pp. 171-204
Persistent link: https://www.econbiz.de/10003835030
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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
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Dynamic factor models with macro, frailty, and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 4, pp. 521-532
Persistent link: https://www.econbiz.de/10009667047
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A leverage ratio rule for capital adequacy
Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976
Persistent link: https://www.econbiz.de/10009708725
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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
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Observation-driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, … - In: The review of economics and statistics 96 (2014) 5, pp. 898-915
Persistent link: https://www.econbiz.de/10010470540
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Credit cycles and macro fundamentals
Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - In: Journal of empirical finance 16 (2009) 1, pp. 42-54
Persistent link: https://www.econbiz.de/10003800184