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Compound scenarios : an efficient framework for integrated market-credit risk
De Prisco, Ben; Iscoe, Ian; Jiang, Yijun; Mausser, Helmut - In: Journal of risk 11 (2008/09) 2, pp. 3-38
Persistent link: https://www.econbiz.de/10003809404
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Time-varying credit risk and liquidity premia in bond and CDS markets
Bühler, Wolfgang; Gehde-Trapp, Monika - 2009
We develop a reduced-form model that allows us to decompose bond spreads and CDS premia into a pure credit risk component, a pure liquidity component, and a component measuring the relation between credit risk and liquidity. CDS liquidity has important consequences for the bond credit risk and...
Persistent link: https://www.econbiz.de/10003919387
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Modeling the evolution of implied CDO correlations
Hofert, Marius; Scherer, Matthias; Zagst, Rudi - In: Financial markets and portfolio management 24 (2010) 3, pp. 289-308
Persistent link: https://www.econbiz.de/10008668595
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Kreditbedömning och rekonstruktion av företag i tider av makroekonomisk turbulens : fallen general motors och Ford
Oxelheim, Lars; Wihlborg, Clas - In: Ekonomiska Samfundets tidskrift 62 (2009) 3, pp. 125-131
Persistent link: https://www.econbiz.de/10003925747
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Absolutely continuous compensators
Janson, Svante; M'Baye, Sokhna; Protter, Philip - In: International journal of theoretical and applied finance 14 (2011) 3, pp. 335-351
Persistent link: https://www.econbiz.de/10009154919
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Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Lee, Yong Woong; Poon, Ser-Huang - In: Journal of economic dynamics & control 41 (2014), pp. 69-92
Persistent link: https://www.econbiz.de/10010425019
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What drives the cross-section of credit spreads? : a variance decomposition approach
Nozawa, Yoshio - 2014
Persistent link: https://www.econbiz.de/10010434016
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Spillover effects across credit spreads in Korean bond market
Lee, Hangyong; Lee, Sang-heon - In: Journal of economic research 20 (2015) 1, pp. 21-38
Persistent link: https://www.econbiz.de/10011296826
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A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan; Lucas, André; Daniels, Robert - 2005
Persistent link: https://www.econbiz.de/10002982977
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Coping with credit risk
Loubergé, Henri; Schlesinger, Harris - 2001
Persistent link: https://www.econbiz.de/10001641876