Similar Search Results - EconBiz

Why do UK banks securitize?

Cerrato, Mario; Choudhry, Moorad; Crosby, John; … - 2012

Persistent link: https://www.econbiz.de/10009573283

Correlated defaults of UK banks : dynamics and asymmetries

Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2015

Persistent link: https://www.econbiz.de/10011413074

The Joint Credit Risk of UK Global-Systemically Important Banks

Cerrato, Mario - 2019

We study the joint credit risk in the UK banking sector using the weekly CDS spreads of global systemically important banks over 2007-2015. We show that the time-varying and asymmetric dependence structure of the CDS spread changes is closely related to the joint default probability that two or...

Persistent link: https://www.econbiz.de/10012903876

The joint credit risk of UK global-systemically important banks

Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - In: The journal of futures markets 37 (2017) 10, pp. 964-988

Persistent link: https://www.econbiz.de/10011950920

Investigating the role of systematic and firm-specific factors in default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank Xiaoling - In: Credit risk : models, derivatives, and management, (pp. 155-180). 2008

Persistent link: https://www.econbiz.de/10003718458

Investigating the role of systematic and firm-specific factors in default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank Xiaoling - In: The journal of business : B 79 (2006) 4, pp. 1955-1987

Persistent link: https://www.econbiz.de/10003378503

Recovery in default risk modeling : theoretical foundations and empirical applications

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank - 2001

Persistent link: https://www.econbiz.de/10001613473

Investigating the sources of default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank X. - 2001

Persistent link: https://www.econbiz.de/10001573166

Decoding default risk : a review of modeling approaches, findings, and estimation methods

Bakshi, Gurdip S.; Gao, Xiaohui; Zhong, Zhaodong - In: Annual review of financial economics 14 (2022), pp. 391-413

Persistent link: https://www.econbiz.de/10013461162

Analysing the determinants of credit risk for general insurance firms in the UK

Caporale, Guglielmo Maria; Cerrato, Mario; Zhang, Xuan - 2016

Persistent link: https://www.econbiz.de/10011536775

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