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The pricing of European non-performing real estate loan portfolios : evidence on stock market evaluation of complex asset sales
Manz, Florian; Müller, Birgit Charlotte; Schiereck, Dirk - In: Journal of business economics : JBE 90 (2020) 7, pp. 1087-1120
Persistent link: https://www.econbiz.de/10012293582
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Application of penalized splines method in the credit market
Yao, Zhilin - 2008
Persistent link: https://www.econbiz.de/10003738379
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Three essays on financial markets and institutions
Souto, Marcos Rietti - 2005
Persistent link: https://www.econbiz.de/10003904272
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The pricing of correlated default risk : evidence from the credit derivatives market
Tarashev, Nikola A. (contributor); Zhu, Haibin (contributor) - 2008
order to analyze the pricing of portfolio credit risk as revealed by tranche spreads of a popular credit default swap (CDS) index we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall level of...
Persistent link: https://www.econbiz.de/10003721579
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Equity Market Information and Credit Risk Signaling : A Quantile Cointegrating Regression Approach
Gatfaoui, Hayette - 2018
Investigating linkages between credit and equity markets, we consider daily aggregate U.S. CDS spreads as well as well-chosen equity market and implied volatility indexes over ten years. We describe such robust (to spurious correlation) relationship with the quantile cointegrating regression...
Persistent link: https://www.econbiz.de/10012934158
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The economic significance of CDS price discovery
Xiang, Vincent; Chng, Michael T.; Fang, Victor - In: Review of quantitative finance and accounting 48 (2017) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10011796591
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Equity market information and credit risk signaling : a quantile cointegrating regression approach
Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59
Persistent link: https://www.econbiz.de/10011756467
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Optimal feedback control of stock prices under credit risk dynamics
Shao, Jinghai; Mitra, Sovan; Karathanasopoulos, Andreas - In: Risk management decisions and value under uncertainty, (pp. 1285-1318). 2022
Persistent link: https://www.econbiz.de/10013342116
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Kursänderungsrisiken festverzinslicher Wertpapiere
Schulte, Reinhard - 1996
Persistent link: https://www.econbiz.de/10000590464
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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption …
Persistent link: https://www.econbiz.de/10003806732