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Comparing firm failure predictions between logit, KMV, and ZPP models : evidence from Taiwan's electronics industry
Su, Ender; Huang, Shih-ming - In: Asia-Pacific financial markets 17 (2010) 3, pp. 209-239
Persistent link: https://www.econbiz.de/10009237117
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On the study of contagion in the context of the subprime crisis : a dynamic conditional correlation-multivariate GARCH approach
Hemche, Omar; Jawadi, Fredj; Maliki, Samir B.; Cheffou, … - In: Economic modelling 52 (2016), pp. 292-299
Persistent link: https://www.econbiz.de/10011645655
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Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; … - In: Journal of empirical finance 38 (2016), pp. 640-663
Persistent link: https://www.econbiz.de/10011663393
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Intersectoral default contagion : a multivariate Poisson autoregression analysis
Escribano, Ana; Maggi, Mario Alessandro - In: Economic modelling 82 (2019), pp. 376-400
Persistent link: https://www.econbiz.de/10012203181
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Modeling corporate defaults : Poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; … - 2015
Persistent link: https://www.econbiz.de/10011516997
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The integration of the credit default swap markets during the US subprime crisis : dynamic correlation analysis
Wang, Ping; Moore, Tomoe - In: Journal of international financial markets, … 22 (2012) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10009540854
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Credit risk modeling under conditional volatility
Rohde, Johannes; Sibbertsen, Philipp - 2014
The accuracy of measuring credit risk directly decides on the interest on credit, which has to be paid when raising a credit, and the amount of capital to keep in reserve by a firm. The structural credit risk model proposed by Merton (1974) lays the groundwork for the assessment of a firm's...
Persistent link: https://www.econbiz.de/10010344867
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Did cryptomarket chaos unleash Silvergate's bankruptcy? : investigating the high-frequency volatility and connectedness behind the collapse
Esparcia, Carlos; Escribano, Ana; Jareño, Francisco - In: Journal of international financial markets, … 89 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014490072
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GARCH volatilities applied to an asset selection algorithm : the case of fixed income markets
Corelli, Angelo - In: International journal of bonds and derivatives 4 (2018) 1, pp. 52-62
Persistent link: https://www.econbiz.de/10012253412
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Bank default indicators with volatility clustering
Kenç, Turalay; Cevik, Emrah Ismail; Dibooglu, Sel - In: Annals of finance 17 (2021) 1, pp. 127-151
Persistent link: https://www.econbiz.de/10012489940