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Momentum profit fluctuations in seasonal conditions due to default probability
Lee, Nicholas Rueilin; Liu, Jung Fang; Lin, Yih-Bey; … - In: The empirical economics letters : a monthly … 13 (2014) 6, pp. 715-722
Persistent link: https://www.econbiz.de/10010520042
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Predicting loss distributions for small-size defaulted-debt portfolios using a convolution technique that allows probability masses to occur at boundary points
Chu, Chih-Kang; Hwang, Ruey-Ching - In: Journal of financial services research : JFSR 56 (2019) 1, pp. 95-117
Persistent link: https://www.econbiz.de/10012301329
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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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The forecasting efficiency of the dynamic Nelson Siegel model on credit default swaps
Shaw, Frances; Murphy, Finbarr; O'Brien, Fergal - In: Research in international business and finance 30 (2014), pp. 348-368
Persistent link: https://www.econbiz.de/10010391732
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Assessment of time-varying systemic risk in credit default swap indices : simultaneity and contagiousness
Choe, Geon Ho; Choi, So Eun; Jang, Hyun Jin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012666122
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Credit variance risk premiums
Ammann, Manuel; Mörke, Mathis - 2019 - This version: June 4, 2019
Persistent link: https://www.econbiz.de/10012050931
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Forecasting credit default swap premiums with Google search volume
Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 52-85). 2016
Persistent link: https://www.econbiz.de/10011733592
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Forecasting Asian Credit Default Swap Spreads : a comparison of multi-regime models
Chatchai Khiewngamdee; Woraphon Yamaka; Songsak … - In: Robustness in econometrics, (pp. 471-489). 2017
Persistent link: https://www.econbiz.de/10011801798
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Is Bloomberg’s credit default swaps model superior in predicting defaults?
Han, Seung Hun; Leggio, Karyl B.; Shin, Yoon S. - In: The journal of fixed income : JFI 33 (2023) 3, pp. 24-44
Persistent link: https://www.econbiz.de/10014533795
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Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility
Forte, Santiago; Lovreta, Lidija - In: The journal of corporate finance : contracting, … 79 (2023), pp. 1-33
Persistent link: https://www.econbiz.de/10014250993