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Credit risk models: an analysis of default correlation

Qi, Howard; Xie, Yan Alice; Liu, Sheen - In: The international journal of business and finance … 4 (2010) 1, pp. 37-49

Persistent link: https://www.econbiz.de/10003955684

Inferring default correlation from equity return correlation

Liu, Sheen; Qi, Howard; Shi, Jian; Xie, Yan Alice - In: European financial management : the journal of the … 21 (2015) 2, pp. 333-359

Persistent link: https://www.econbiz.de/10010516668

From equity to default correlation with taxes

Liu, Sheen; Qi, Howard; Xie, Yan Alice - In: Quantitative finance 20 (2020) 8, pp. 1373-1388

Persistent link: https://www.econbiz.de/10012262668

Effects of credit quality on tax-exempt and taxable yields

Liu, Sheen; Wang, Junbo; Wu, Chunchi - In: The journal of fixed income 13 (2003) 2, pp. 80-99

Persistent link: https://www.econbiz.de/10001803163

A Structural Approach for Predicting Default Correlation

Liu, Sheen - 2013

Default correlation is a critical concept in risk management for fixed income investment, bank management, and insurance industry, working capital management, among many. We extend the Leland-Toft term structure model into a two-firm environment and predict the default correlation between two...

Persistent link: https://www.econbiz.de/10013090295