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Credit risk valuation : methods, models, and applications

Ammann, Manuel - 2001 - 2. ed.

Persistent link: https://www.econbiz.de/10004551338

Credit risk valuation : methods, models, and applications

Ammann, Manuel - 2001 - 2. ed., corr. 2. print.

Persistent link: https://www.econbiz.de/10014274314

Pricing derivative credit risk

Ammann, Manuel - 1998

Persistent link: https://www.econbiz.de/10000674017

The conglomerate discount : a new explanation based on credit risk

Ammann, Manuel (contributor); Verhofen, Michael (contributor) - 2006

Persistent link: https://www.econbiz.de/10003376063

Corporate financial aspects of the financial crisis

Schütte, Dustin Robert - 2014

In dieser Dissertation werden drei Fragestellungen der Corporate Finance empirisch beantwortet. Kapitel 1 untersucht die negativen Auswirkungen auf Investitionen und Unternehmensfinanzierungsaktivitäten im Realsektor, die im Rahmen der Finanzkrise 2007-09 durch den Kollaps von drei führenden...

Persistent link: https://www.econbiz.de/10010514173

The conglomerate discount : a new explanation based on credit risk

Ammann, Manuel; Verhofen, Michael - In: International journal of theoretical and applied finance 9 (2006) 8, pp. 1201-1214

Persistent link: https://www.econbiz.de/10003397165

Do risk-adjusted pricing and the new Basel capital accord reinforce the credit cycle?

Ammann, Manuel - In: Financial markets and portfolio management 15 (2001) 2, pp. 141-147

Persistent link: https://www.econbiz.de/10001865086

Pricing derivative credit risk

Ammann, Manuel - 1998

Persistent link: https://www.econbiz.de/10000994013

Credit Variance Risk Premiums

Ammann, Manuel - 2019

This paper studies variance risk premiums in the credit market. Using a novel data set of swaptions quotes on the CDX North America Investment Grade index, we find that returns of credit variance swaps are negative and economically large. Shorting credit variance swaps yields an annualized...

Persistent link: https://www.econbiz.de/10012867884

Credit variance risk premiums

Ammann, Manuel; Mörke, Mathis - 2019 - This version: June 4, 2019

Persistent link: https://www.econbiz.de/10012050931