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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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Exploring for the determinants of credit risk in credit default swap transaction data : is fixed-income markets' information sufficient to evaluate credit risk?
Aunon-Nerin, Daniel; Cossin, Didier; Hricko, Tomas; … - 2002
Persistent link: https://www.econbiz.de/10001743415
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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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An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps
Blanco, Roberto; Brennan, Simon; Marsh, Ian - 2004
"In this paper the behaviour of credit default swaps (CDS) are analysed for a sample of firms and support found for the theoretical equivalence of CDS prices and credit spreads. When this is violated, the CDS price can be viewed as an upper bound on the price of credit risk, while the spread...
Persistent link: https://www.econbiz.de/10001932407
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An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps
Blanco, Roberto; Brennan, Simon; Marsh, Ian - 2004
Persistent link: https://www.econbiz.de/10001910274
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Essays on risk management of financial institutions : systematic risk, cross-sectional pricing of risk factors, parameter errors affecting risk measures, and credit decisions under parameter uncertainty
Claußen, Arndt - 2015
Credit risk, systematic risk, parameter uncertainty. - Kreditrisiko, systematische Risiken, Parameterunsicherheit …
Persistent link: https://www.econbiz.de/10015206137
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The impact of the Federal Reserve's Large-Scale Asset Purchase Programs on corporate credit risk
Gilchrist, Simon; Zakrajšek, Egon - 2013
Persistent link: https://www.econbiz.de/10009790265
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Forcing variables in the dynamics of risk spillovers in oil-related CDS sectors, equity, bond and oil markets and volatility market risks
Hammoudeh, Shawkat; Sari, Ramazan - In: The interrelationship between financial and energy markets, (pp. 113-140). 2014
Persistent link: https://www.econbiz.de/10010411148
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Market reactions to credit risk changes
Wengner, Andreas - 2014
Persistent link: https://www.econbiz.de/10010474985
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An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps
Blanco, Roberto; Brennan, Simon; Marsh, Ian - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2255-2282
Persistent link: https://www.econbiz.de/10003159335