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The empirical determinants of credit default swap spreads : a quantile regression approach

Pires, Pedro; Pereira, João Pedro; Martins, Luís Filipe - In: European financial management : the journal of the … 21 (2015) 3, pp. 556-589

Persistent link: https://www.econbiz.de/10011317990

The impact of the Federal Reserve's Large-Scale Asset Purchase programs on corporate credit risk

Gilchrist, Simon; Zakrajšek, Egon - In: Journal of money, credit and banking : JMCB 45 (2013), pp. 29-57

Persistent link: https://www.econbiz.de/10010344557

The state dependent impact of bank exposure on sovereign risk

Podstawski, Maximilian; Velinov, Anton - 2016 - This version: February 11, 2016

The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk by acting as a disciplinary device for the...

Persistent link: https://www.econbiz.de/10011436025

Credit derivatives and analyst behavior

Batta, George Eli; Qiu, Jiaping; Yu, Fan - In: The accounting review : a publication of the American … 91 (2016) 5, pp. 1315-1343

Persistent link: https://www.econbiz.de/10011562607

Spread risk premia in corporate credit default swap markets

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and capital markets : Kredit und Kapital 47 (2014) 4, pp. 571-610

Persistent link: https://www.econbiz.de/10010477424

Persistence of volatility of sovereign credit risk in presence of structural breaks

Ngene, Geoffrey; Carley, Hannah; Hassan, Mohammad Kabir - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 10-27

Persistent link: https://www.econbiz.de/10010463011

Sovereign bond spreads and credit default swap premia : cointegration and causality

Martín García, Margarita; Téllez, Cecilia; Martín … - In: Investment management and financial innovations 11 (2014) 2, pp. 47-59

Persistent link: https://www.econbiz.de/10010392834

What drives corporate default risk premia? : evidence from the CDS market

Díaz, Antonio; Groba, Jonatan; Serrano, Pedro - In: Journal of international money and finance 37 (2013), pp. 529-563

Persistent link: https://www.econbiz.de/10010209025

Liquidity in Credit Default Swap markets

Arakelyan, Armen; Serrano, Pedro - In: Journal of multinational financial management 37/38 (2016), pp. 139-157

Persistent link: https://www.econbiz.de/10011720264

A quantitative analysis of risk premia in the corporate bond market

Cecchetti, Sara - 2017

Persistent link: https://www.econbiz.de/10011947771

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