Narrow search
Showing 1 - 10 of 45,608
Cover Image
On the cyclicality of default rates of banks : a comparative study of the asset correlation and diversification effects
Blümke, Oliver - In: Journal of empirical finance 47 (2018), pp. 65-77
Persistent link: https://www.econbiz.de/10012103483
Cover Image
Cyclicality in losses on bank loans
Keijsers, Bart; Diris, Bart; Kole, Erik - 2015
profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the …
Persistent link: https://www.econbiz.de/10010515860
Cover Image
Measuring the covariance risk of consumer debt portfolios
Madeira, Carlos - In: Journal of economic dynamics & control 104 (2019), pp. 21-38
Persistent link: https://www.econbiz.de/10012131094
Cover Image
Correlations and Business Cycles of Credit Risk : Evidence from Bankruptcies in Germany
Roesch, Daniel - 2013
A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on …
Persistent link: https://www.econbiz.de/10013073402
Cover Image
Do credit market shocks drive output fluctuations? : evidence from corporate spreads and defaults
Meeks, Roland - In: Journal of economic dynamics & control 36 (2012) 4, pp. 568-584
Persistent link: https://www.econbiz.de/10009554335
Cover Image
Recovery rates, default probabilities and the credit cycle
Bruche, Max (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003392217
Cover Image
Recovery rates, default probabilities and the credit cycle
Bruche, Max (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003525294
Cover Image
The Informational Content of Credit Ratings and Cyclical Patterns of Default Rates
Roesch, Daniel - 2013
With the New Basle Capital Accord banks' capital requirements are determined with risk weights based on internal and external ratings and probabilities of default (PD's). PD's are mostly estimated from historical default rates. In recent working papers the Basle Committee on Banking Supervision...
Persistent link: https://www.econbiz.de/10013073399
Cover Image
Understanding aggregate default rates of high-yield bonds
Helwege, Jean - In: The journal of fixed income 7 (1997) 1, pp. 55-61
Persistent link: https://www.econbiz.de/10001223524
Cover Image
Understanding aggregate default rates of high yield bonds
Helwege, Jean - In: Current issues in economics and finance 2 (1996) 6
Persistent link: https://www.econbiz.de/10001226170