Narrow search
Showing 1 - 5 of 5
Cover Image
Don't fall from the Saddle : the importance of higher moments of credit loss distributions
Annaert, Jan; Batista, Crispiniano Garcia Joao; Lamoot, … - 2006
Persistent link: https://www.econbiz.de/10003331649
Cover Image
Don't fall from the Saddle : the importance of higher moments of credit loss distributions
Annaert, Jan; Batista, Crispiniano Garcia Joao; Lamoot, … - 2007
Persistent link: https://www.econbiz.de/10003481913
Cover Image
What determines euro area bank CDS spreads?
Annaert, Jan; De Ceuster, Marc J.; Van Roy, Patrick; … - 2010
Persistent link: https://www.econbiz.de/10003964386
Cover Image
What determines euro area bank CDS spreads?
Annaert, Jan; De Ceuster, Marc J.; Van Roy, Patrick; … - 2010
This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...
Persistent link: https://www.econbiz.de/10011596544
Cover Image
What determines euro area bank CDS spreads?
Annaert, Jan; De Ceuster, Marc; Van Roy, Patrick; … - 2010
This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...
Persistent link: https://www.econbiz.de/10011506710