Similar Search Results

Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads

Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016

spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …

Persistent link: https://www.econbiz.de/10011531096

Non-parametric estimation for non-homogeneous Semi-Markov processes: an application to credit bank

Monteiro, André Antonio; Smirnov, Georgi V.; Lucas, André - 2006

Persistent link: https://www.econbiz.de/10003300926

Regime Switches in the Volatility and Correlation of Financial Institutions

Boudt, Kris - 2012

switching probabilities and the within-regime volatility of most banks. The within-regime dynamics of the equicorrelation seem …

Persistent link: https://www.econbiz.de/10013099440

Regime switches in the volatility and correlation of financial institutions

Boudt, Kris; Daníelsson, Jón; Koopman, Siem Jan; … - 2012

Persistent link: https://www.econbiz.de/10009665042

Regime switches in the volatility and correlation of financial institutions

Boudt, Kris; Daníelsson, Jón; Koopman, Siem Jan; … - 2012

switching probabilities and the within-regime volatility of most banks. The within-regime dynamics of the equicorrelation seem …

Persistent link: https://www.econbiz.de/10011592541

Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads

Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - In: Systemic risk tomography : signals, measurement and …, (pp. 129-150). 2017

Persistent link: https://www.econbiz.de/10011617892

Measuring and explaining the CDS-bond basis term-structure shape and dynamics

Khanna, Yonas; Lucas, André; Seeger, Norman - 2025 - This version: May 26, 2025

The CDS-bond basis quantifies the difference in risk premia between credit default swap (CDS) and bond markets. It is …

Persistent link: https://www.econbiz.de/10015408438

Testing for parameter instability in competing modeling frameworks

Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - 2014

score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and …

Persistent link: https://www.econbiz.de/10010229896

Pro-cyclicality, empirical credit cycles, and capital buffer formation

Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002 - This version: October 15, 2002

We model 1927-1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default...

Persistent link: https://www.econbiz.de/10011327840

Business and default cycles for credit risk

Koopman, Siem Jan; Lucas, André - 2003

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...

Persistent link: https://www.econbiz.de/10011333881