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Modeling credit risk in the presence of central bank and government intervention
Engelmann, Bernd - In: The journal of risk model validation 16 (2022) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10014540302
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Banking systemic vulnerabilities : a tail-risk dynamic CIMDO approach
Jin, Xisong; Nadal-De Simone, Francisco - In: Journal of financial stability 14 (2014), pp. 81-101
Persistent link: https://www.econbiz.de/10011302103
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Sovereign default risk assessment
Altman, Edward I.; Rijken, Herbert A. - In: International journal of banking, accounting and finance 5 (2013/14) 1/2, pp. 6-27
Persistent link: https://www.econbiz.de/10010359156
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Tracking changes in the intensity of financial sector's systemic risk
Jin, Xisong; Nadal-De Simone, Francisco - 2016
Persistent link: https://www.econbiz.de/10011565377
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Liquidity, leverage, and Lehman : a structural analysis of financial institutions in crisis
Chen, Ren-Raw; Chidambaran, Nemmara; Imerman, Michael B.; … - In: Journal of banking & finance 45 (2014), pp. 117-139
Persistent link: https://www.econbiz.de/10010466618
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A dynamic analysis of the determinants of the Greek credit default swaps
Correia, Maria do Rosario; Gokus, Christian; Hughes … - In: Journal of economics and political economy : JEPE 3 (2016) 2, pp. 350-376
Persistent link: https://www.econbiz.de/10011567739
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Assessing the credit risk of money market funds during the eurozone crisis
Collins, Sean Scanlon; Gallagher, Emily - In: Journal of financial stability 25 (2016), pp. 150-165
Persistent link: https://www.econbiz.de/10011704891
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Systemic financial sector and sovereign risks
Jin, Xisong; Nadal-De Simone, Francisco - 2017
Persistent link: https://www.econbiz.de/10011707080
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Labor unions and bank risk culture : evidence from the financial crisis
Bui, Dien Giau; Chen, Yan-Shing; Hsu, Hsing-Hua; Lin, … - In: Journal of financial stability 51 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012431758
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Chapter 20. Credit Derivatives
Hull, John; White, Alan - 2013
This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...
Persistent link: https://www.econbiz.de/10014025358