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Brennan, Michael; Hein, Julia; Poon, Ser-Huang - Manchester Business School - 2008

In this paper we analyze the source and magnitude of marketing gains from selling structured debtsecurities at yields that reflect only their credit ratings, or specifically at yields on equivalently ratedcorporate bonds. We distinguish between credit ratings that are based on probabilities of...

Persistent link: https://www.econbiz.de/10005870670

The robustness of estimatiors in structural credit loss distributions

Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 67-97

Persistent link: https://www.econbiz.de/10011298505

Credit contagion in the presence of non-normal shocks

Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: International review of financial analysis 37 (2015), pp. 129-139

Persistent link: https://www.econbiz.de/10011317232

Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model

Lee, Yong Woong; Poon, Ser-Huang - In: The journal of credit risk : published quarterly by … 10 (2014) 1, pp. 33-61

Persistent link: https://www.econbiz.de/10010373355

Fast approximation of loan portfolio loss

Bai, Jenny; Seppälä, Heikki; Poon, Ser-Huang - In: Global credit review 4 (2014), pp. 67-85

Persistent link: https://www.econbiz.de/10010422179

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

Loan portfolio loss models with more flexible asymmetry and tails for Korean banks and a comparison of their regional concentrations

Lee, Yong Woong; Poon, Ser-Huang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 118-139

Persistent link: https://www.econbiz.de/10011404418

Rating-based CDS curves

Kolokolova, Olga; Lin, Ming-Tsung; Poon, Ser-Huang - In: The European journal of finance 25 (2019) 7, pp. 689-723

Persistent link: https://www.econbiz.de/10012207024

Slow- and fast-moving information content of CDS spreads : new endogenous systematic factors

Lin, Ming-Tsung; Kolokolova, Olga; Poon, Ser-Huang - In: The European journal of finance 27 (2021) 1/2, pp. 136-157

Persistent link: https://www.econbiz.de/10012424932

Structural credit loss distributions under non-normality

Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: The journal of fixed income 23 (2013) 1, pp. 56-75

Persistent link: https://www.econbiz.de/10009783200