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Bond Valuation and Default Risk Reexamined : A Post Reduced Form Model Based on Integer Migration and Portfolio Migration

Barnard, Brian - 2021

The study reexamines bond valuation and default risk by considering and relaxing assumptions regarding integer rating migration and portfolio rating migration, and consequently the implied degree of diversification. A reduced form model, based on (a) rating migration (matrix) serves as the basis...

Persistent link: https://www.econbiz.de/10013237057

On the county-level credit outcome beta

Desai, Chintal A.; Elliehausen, Gregory E.; Lawrence, … - In: Journal of financial services research : JFSR 45 (2014) 2, pp. 201-218

Persistent link: https://www.econbiz.de/10010401073

Credit risk, valuation and fundamental analysis

Realdon, Marco - In: International review of financial analysis 27 (2013), pp. 77-90

Persistent link: https://www.econbiz.de/10009736940

Measuring the covariance risk of consumer debt portfolios

Madeira, Carlos - 2016

Persistent link: https://www.econbiz.de/10011814228

Is default risk the hidden factor in mementum returns? : some empirical results

Abinzano, Isabel; Muga, Luis; Santamaría Aquilué, Rafael - In: Accounting and finance : journal of the Accounting … 54 (2014) 3, pp. 671-698

Persistent link: https://www.econbiz.de/10011348098

Measuring default risk for a portfolio of equities

Rodrigues, Matheus Pimentel; Maialy, Andre Cury - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10012012883

Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times

Okhrati, Ramin; Karpathopoulos, Nikolaos - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-41

Persistent link: https://www.econbiz.de/10012807897

Empirically Effective Government and Corporate Bond Pricing Models : Yield Curves and Default Curves

Kariya, Takeaki; Yamamura, Yoshiro - 2025

An Overview over the Content of This Book -- GB Models and Yield Curves in Traditional Finance, Mathematical Finance and K System -- Pricing Government Bonds and Yield Curves via K Models -- Empirical Effectiveness of the KGB Model as JGB and USGB Pricing Models -- Empirical Effectiveness of...

Persistent link: https://www.econbiz.de/10015408965

Implications of macroeconomic conditions on Romanian portfolio credit risk : a cost-sensitive ensemble learning methods comparison

Sandica, Ana-Maria; Fratila, Alexandra - In: Economic research 35 (2022) 1,4, pp. 3571-3590

Persistent link: https://www.econbiz.de/10014384442

Framing the default option right

Meunier, Luc; Bashirzadeh, Yashar; Ohadi, Sima - In: Journal of behavioral decision making 37 (2024) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10015154585