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Die Risikostruktur von Industrieanleihen : eine ökonometrische Untersuchung unter Verwendung ordinaler Kredit-Ratings

Tessin, Peter von - 1999

Persistent link: https://www.econbiz.de/10001370932

Höse, Steffi; Huschens, Stefan; Wania, Robert - In: Applied quantitative finance : theory and computational …, (pp. 87-110). 2002

Persistent link: https://www.econbiz.de/10001749976

Integrating rating migrations

Bröker, Frank; Schweizer, Stefan - In: CreditRisk+ in the banking industry, (pp. 167-185). 2004

Persistent link: https://www.econbiz.de/10002108701

Rating migrations

Höse, Steffi; Huschens, Stefan; Wania, Robert - In: Applied quantitative finance, (pp. 105-123). 2009

Persistent link: https://www.econbiz.de/10003746005

Credit spreads : an empirical analysis on the informational content of stocks, bonds, and CDS

Forte, Santiago; Peña Sánchez de Rivera, Juan Ignacio - In: Journal of banking & finance 33 (2009) 11, pp. 2013-2025

Persistent link: https://www.econbiz.de/10003892177

Credit Spreads : An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS

Forte, Santiago - 2012

This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads. A general VECM representation is proposed for changes in the three credit spread measures which accounts for zero, one, or two independent cointegration equations, depending...

Persistent link: https://www.econbiz.de/10012755686