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Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach

Liu, Wen-Qiong; Huang, Wen-Li - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10012012947

Dynamic credit default swaps curves in a network topology

Xu, Xiu; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang - 2016

Systemically important banks are connected and have dynamic dependencies of their default probabilities. An extraction of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape and the dynamics of the default probabilities. Extending the Dynamic Nelson...

Persistent link: https://www.econbiz.de/10011579056

Default risk of money-market fund portfolios

Bansal, Matulya - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 43-71

Persistent link: https://www.econbiz.de/10011442549

The risk structural of European sovereign credit default swap before and after in European periphery countries

Tellalbaşı, Işıl - In: International journal of economics and finance 6 (2014) 1, pp. 165-182

Persistent link: https://www.econbiz.de/10010236860

Sovereign credit default swap premia

Augustin, Patrick - In: Journal of investment management : JOIM 12 (2014) 2, pp. 65-102

Persistent link: https://www.econbiz.de/10010388906

The role of social media in the corporate bond market : evidence from Twitter

Bartov, Eli; Faurel, Lucile; Mohanram, Partha - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5638-5667

Persistent link: https://www.econbiz.de/10014392963

The spillover effect between credit ratings : COVID-19 crisis perspective

Chodnicka-Jaworska, Patrycja; Obeid, Hassan; Jaworski, Piotr - 2024

Persistent link: https://www.econbiz.de/10014507879

Do the SDGs affect sovereign bond spreads? : first evidence

Bosch, Eline ten; Dijk, Mathijs van; Schoenmaker, Dirk - 2022

Persistent link: https://www.econbiz.de/10012798515

Uncertain tone, asset volatility and credit default swap spreads

Doshi, Hitesh; Patel, Saurin; Ramani, Srikanth; Sooy, … - In: Journal of contemporary accounting & economics 19 (2023) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10014483031

Is credit default swap spread a leading indicator of bank default risk? : evidence of Indian banks during the COVID-19 pandemic

Srivastava, Vikas - In: International journal of Indian culture and business … 28 (2023) 3, pp. 384-400

Persistent link: https://www.econbiz.de/10014318289

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