Similar Search Results

Feldhütter, Peter - 2018

We ask whether a standard structural model (Black and Cox (1976)) is able to explain credit spreads on corporate bonds and, in contrast to much of the literature, we find that the model matches the level of investment grade spreads well. Model spreads for speculative grade debt are too low and...

Persistent link: https://www.econbiz.de/10012938195

The Credit Spread Puzzle – Evidence From Multiple Quasi-Natural Experiments

Kriebel, Johannes; Pfingsten, Andreas; Platte, Daniel - 2023

Credit spreads are the yields of risky debt securities minus risk-free rates. The finance literature has long argued which share of them is due to credit risk and which share results from other factors. We suggest a novel set of multiple quasi-natural experiments based on government guarantees...

Persistent link: https://www.econbiz.de/10014257901

Hunting the living dead : a "peso problem" in corporate liabilities data

Cherubini, Umberto (contributor); Manera, Matteo (contributor) - 2005

Persistent link: https://www.econbiz.de/10003357089

Credit and Liquidity Risks in Euro Area Sovereign Yield Curves

Monfort, Alain - 2011

combinations of the factors and regimes. The hazard rates incorporate both liquidity and credit components, that we aim at … disentangling. The estimation suggests that a substantial share of the changes in euro-area yield differentials is liquidity … risk premia that are incorporated in spreads. Once liquidity-pricing effects and risk premia are filtered out of the …

Persistent link: https://www.econbiz.de/10013117964

Il mercato dei corporate bond in Italia : problematiche e prospettive

Pinardi, Carlo Maria (contributor); … - 2003 - 1. ed

Persistent link: https://www.econbiz.de/10001852908

Distressed borrowers and best practice in Italy and France

Eyerman, Edward; Podestà, Stefano; Lombardi, Giulio; … - In: Economic & financial review : a journal of the European … 12 (2005) 1, pp. 31-46

Persistent link: https://www.econbiz.de/10002771236

The Liquidity of Dual-Listed Corporate Bonds. Empirical Evidence from Italian Markets

Linciano, Nadia - 2015

Persistent link: https://www.econbiz.de/10013031220

Non-Performing loans for Italian companies : when time matters. an empirical research on estimating probability to default and loss given default

Orlando, Guiseppe; Pelosi, Roberta - In: International Journal of Financial Studies : open … 8 (2020) 4/68, pp. 1-22

Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the...

Persistent link: https://www.econbiz.de/10012321142

The Bank of Italy's statistical model for the credit assessment of non-financial firms

Narizzano, Simone; Orlandi, Marco; Scalia, Antonio - 2024

Persistent link: https://www.econbiz.de/10015080018

Credit spreads between German and Italian medium term zero coupon government bonds : empirical assessment of a three-factor defaultable term structure model

Schmid, Bernd; Kalemanova, Anna - In: Financial risk and financial risk management, (pp. 497-533). 2002

Persistent link: https://www.econbiz.de/10001755661