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Do credit default swaps mitigate the impact of credit rating downgrades?
Chava, Sudheer; Ganduri, Rohan; Ornthanalai, Chayawat - In: Review of finance : journal of the European Finance … 23 (2019) 3, pp. 471-511
Persistent link: https://www.econbiz.de/10012035109
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Examining what best explains corporate credit risk : accounting-based versus market-based models
Trujillo-Ponce, Antonio; Samaniego-Medina, Reyes; … - In: Journal of business economics and management 15 (2014) 2, pp. 253-276
Persistent link: https://www.econbiz.de/10010375868
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Survey of credit risk models in relation to capital adequacy framework for financial institutions
Nacaskul, Poomjai - In: Journal of governance and regulation : international … 5 (2016) 4, pp. 68-84
Persistent link: https://www.econbiz.de/10011673803
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Spread term structure and default correlation
Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223
Persistent link: https://www.econbiz.de/10011592744
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Estimating the joint probability of default using credit default swap and bond data
Pianeti, Riccardo; Giacometti, Rosella; Acerbis, Valentina - In: The journal of fixed income 21 (2012) 3, pp. 44-58
Persistent link: https://www.econbiz.de/10009532100
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Inferring default probabilities from credit spreads
Benzschawel, Terry; Assing, Andrew - In: The journal of fixed income 21 (2012) 4, pp. 13-24
Persistent link: https://www.econbiz.de/10009670765
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Credit risk analysis on Euro government bonds-term structures of default probabilities
Kariya, Takeaki; Yamamura, Yoshiro; Tanokura, Yoko; … - In: Asia-Pacific financial markets 22 (2015) 4, pp. 397-427
Persistent link: https://www.econbiz.de/10011524823
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Market-based credit ratings
Creal, Drew; Gramacy, Robert B.; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 430-444
Persistent link: https://www.econbiz.de/10010488477
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Survival analysis and ROC analysis in analyzing credit risks : assessing default risks over time
Hu, Nan; Cheng, Haojie - In: Analyzing risk through probabilistic modeling in …, (pp. 380-403). 2016
Persistent link: https://www.econbiz.de/10011476968
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The Cross-Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads
Elkamhi, Redouane - 2011
Rather than assuming a fixed recovery rate in estimation, we estimate recovery rates from CDS spreads, using three years of daily data on 152 corporates. We use a quadratic pricing model which ensures nonnegative default probabilities and recovery rates. The estimated cross-section of recovery...
Persistent link: https://www.econbiz.de/10013132238