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The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
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Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 182 (2014) 2, pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
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Liquidity Tail Risk and Credit Default Swap Spreads
Irresberger, Felix - 2018
We show that liquidity tail risk in credit default swap (CDS) spreads is time-varying and explains variation in CDS spreads. We capture the liquidity tail risk of a CDS contract written on a firm by estimating the tail dependence, i.e., the asymptotic probability of a joint surge in the bid-ask...
Persistent link: https://www.econbiz.de/10012936557
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Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
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The reward for trading illiquid maturities in credit default swap markets
Arakelyan, Armen; Rubio, Gonzalo; Serrano, Pedro - In: International review of economics & finance : IREF 39 (2015), pp. 376-389
Persistent link: https://www.econbiz.de/10011572470
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Liquidity tail risk and credit default swap spreads
Irresberger, Felix; Weiß, Gregor; Gabrysch, Janet; … - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1137-1153
Persistent link: https://www.econbiz.de/10011866884
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Stock price default boundary : a Black-Cox model approach
Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013455157
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Credit default swaps and firm risk
Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
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Bubbles and trading frenzies : evidence from the art market
Penasse, Julien; Renneboog, Luc - 2014
Persistent link: https://www.econbiz.de/10011285010
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Towards an optimal IPO mechanism
Huibers, Fred E. - In: Journal of risk and financial management : JRFM 13 (2020) 6/115, pp. 1-14
measuring the impact of two key variables on this trade-off: capacity restraint and discount on the auction clearing price … auctions for IPO pricing and allocation. IPO firms face a trade-off between the benefit of accurate and reliable IPO price …. Using controlled experiment methodology in multi-unit uniform price auctions we found that the most capacity …
Persistent link: https://www.econbiz.de/10012305138