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Risk assessment for credit portfolios : a coupled Markov chain model

Kaniovski, Yuri M.; Pflug, Georg - In: Journal of banking & finance 31 (2007) 8, pp. 2303-2323

Persistent link: https://www.econbiz.de/10003522921

Modeling dependent credit rating transitions : a comparison of coupling schemes and empirical evidence

Boreiko, D. V.; Kaniovski, Yuri M.; Pflug, Georg - In: Central European journal of operations research : CEJOR … 24 (2016) 4, pp. 989-1007

Persistent link: https://www.econbiz.de/10011694781

Numerical modeling of dependent credit rating transitions with asynchronously moving industries

Boreiko, D. V.; Kaniovski, Yuri M.; Pflug, Georg - In: Computational economics 49 (2017) 3, pp. 499-516

Persistent link: https://www.econbiz.de/10011762130

Valuation of vulnerable American options with correlated credit risk

Chang, Lung-fu; Hung, Mao-Wei - In: Review of derivatives research 9 (2006) 2, pp. 137-165

Persistent link: https://www.econbiz.de/10003608132

Credit contagion and competitive effects of bond rating downgrades along the supply chain

Chang, Jung-Hsien; Hung, Mao-Wei; Tsai, Feng-Tse - In: Finance research letters 15 (2015), pp. 232-238

Persistent link: https://www.econbiz.de/10011553227

Pricing convertible bonds subject to default risk

Hung, Mao-Wei; Wang, Jr-Yan - In: The journal of derivatives : the official publication … 10 (2002) 2, pp. 75-87

Persistent link: https://www.econbiz.de/10001745235

The impact of news articles and corporate disclosure on credit risk valuation

Tsai, Feng-Tse; Lu, Hsin-Min; Hung, Mao-Wei - In: Journal of banking & finance 68 (2016), pp. 100-116

Persistent link: https://www.econbiz.de/10011634804

The Impact of News Articles and Corporate Disclosure on Credit Risk Valuation

Tsai, Feng-Tse - 2014

This paper elucidates the importance of the information content of text information from public sources, including newspapers and corporate filings, has for credit market investors. We adopted news coverage and news tone to quantify text information from news articles. We captured the...

Persistent link: https://www.econbiz.de/10013048593

Cross-Market Hedging Strategies for Credit Default Swaps Under a Markov Regime-Switching Framework

Chang, Jow-Ran - 2015

This paper aims to explore strategies used for hedging credit default swap (CDS) risks. By analyzing the AIG financial crisis in 2008, we understand the nature of CDS and why AIG incurred huge losses. In addition, we investigate other financial products that can be used to hedge CDS risks....

Persistent link: https://www.econbiz.de/10013016687