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Economic policy uncertainty and volatility of corporate bond credit spread : evidence from China and the United States

Zhang, Maojun; Zhang, Rongjia; Yang, Zhao - In: International review of economics & finance : IREF 93 (2024) 2, pp. 827-841

Persistent link: https://www.econbiz.de/10014535660

Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2015

Persistent link: https://www.econbiz.de/10011413074

The Joint Credit Risk of UK Global-Systemically Important Banks

Cerrato, Mario - 2019

We study the joint credit risk in the UK banking sector using the weekly CDS spreads of global systemically important banks over 2007-2015. We show that the time-varying and asymmetric dependence structure of the CDS spread changes is closely related to the joint default probability that two or...

Persistent link: https://www.econbiz.de/10012903876

Financial derivatives and default dependence : a time-varying copula approach

Zhang, Xuan; Liu, Ding; Zhao, Yang; Zhang, Zhekai - In: Applied economics letters 28 (2021) 11, pp. 958-963

Persistent link: https://www.econbiz.de/10012589711

The joint credit risk of UK global-systemically important banks

Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - In: The journal of futures markets 37 (2017) 10, pp. 964-988

Persistent link: https://www.econbiz.de/10011950920

Bank capital standards and subordinated debt prices

Lee, Jin-Ping; Lin, Edward M. H.; Yu, Min-Teh; Zhao, Yang - In: Advances in Pacific Basin business, economics, and finance 5 (2017), pp. 77-99

Persistent link: https://www.econbiz.de/10012520843

Corporate bond ratings, underwriters’ reputation and cost of bonds

Chen, Chao; Zhao, Yang; Zhao, Yu - In: Asia-Pacific journal of accounting & economics : … 26 (2019) 1/2, pp. 1-16

Persistent link: https://www.econbiz.de/10012173902

Forecasting corporate default risk in China

Zhang, Xuan; Zhao, Yang; Yao, Xiao - In: International journal of forecasting 38 (2022) 3, pp. 1054-1070

Persistent link: https://www.econbiz.de/10013349641

A key driver for the mixed relationship between loan risk premiums and collateral : evidence from China

Zhang, Xuan; Zhang, Yongmin; Scheffel, Eric; Zhao, Yang - In: International review of financial analysis 83 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013454999

Default dependence in the insurance and banking sectors : a copula approach

Zhang, Xuan; Kim, Minjoo; Yan, Cheng; Zhao, Yang - In: Journal of international financial markets, … 91 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014494724