Existe una versión en español con el mismo número ; This paper applies the methodology developed by Forte and Peña (2006) to extract the implied default point in the premium on credit default swaps (CDS). As well as considering a more expensive international sample of corporations (96 US,...

Credit risk is influenced by interest rates and market liquidity. This paper examines the direct and indirect impacts of unexpected monetary policy shifts on the growth of corporate credit risk, with the aim of quantifying the size and direction of the response. The results surprisingly indicate...

Ziel dieser Arbeit ist die Untersuchung der Bedeutung der Spezifikation für Ratingmodelle zur Prognose von Kreditausfallwahrscheinlichkeiten. Ausgehend von dem in der Bankenpraxis etablierten Logit-Modell werden verschiedene Modellerweiterungen diskutiert und hinsichtlich ihrer Eigenschaften...

Valuation of corporate debt has been an extremely important, albeit imprecise task in asset pricing. Both structural models and reduced form models have had limited success in explaining the corporate yield spreads observed in actual markets. Taking advantage of a unique corporate bond dataset...

In the first essay, I examine the impact of the introduction of exchange traded funds (ETFs) options on the information related trading of index options. Two option pairs, NASDAQ 100 index (NDX) and ETF (QQQ, currently QQQQ ) options, and Standard and Poor's 500 index (SPX) options and S & P...

In the first essay, I examine the impact of the introduction of exchange traded funds (ETFs) options on the information related trading of index options. Two option pairs, NASDAQ 100 index (NDX) and ETF (QQQ, currently QQQQ ) options, and Standard and Poor's 500 index (SPX) options and S & P...