Narrow search
Showing 1 - 10 of 4,996
Cover Image
Estimating the probabilities of default under the assumption of unobserved heterogeneity
Oded, Jacob; Venezia, Itzhak - 2024
Persistent link: https://www.econbiz.de/10015050045
Cover Image
Return-generating models : simple model or advanced model? : the case of bond rating changes announcement
Taib, Hasniza Mohd - In: International journal of economics and management 10 (2016) 1, pp. 125-139
Persistent link: https://www.econbiz.de/10011924406
Cover Image
Research on corporate bond risk premium and default based on voluntary dual ratings selection
Yu, Qianlong; Xiao, Xiaoyi; Lin, Yimin - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 6, pp. 1690-1706
Persistent link: https://www.econbiz.de/10014289783
Cover Image
Modeling the effect of macroeconomic factors on corporate default and credit rating transitions
Figlewski, Stephen; Frydman, Halina; Liang, Weijian - In: International review of economics & finance : IREF 21 (2012) 1, pp. 87-105
Persistent link: https://www.econbiz.de/10009428084
Cover Image
Split ratings and debt-signaling in bond markets : a note
Ismail, Ashraf; Oh, Seunghack; Arsyad, Nuruzzaman - In: Review of financial economics : RFE 24 (2015), pp. 36-41
Persistent link: https://www.econbiz.de/10011317830
Cover Image
Speed of Price Adjustment of Stocks and Bonds to Changes in Credit Rating
Seiber, Chad Alan - 2010
little that compares both stocks and bonds abnormal or excess returns from a bond upgrade or downgrade. Using a sample of …
Persistent link: https://www.econbiz.de/10013139220
Cover Image
Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model
Gauthier, Geneviève - 2012
spreads as it modifies both the level and shape of the curves. When a bond portfolio is considered, the presence of dependence …
Persistent link: https://www.econbiz.de/10013101883
Cover Image
Rating Migration and Bond Valuation : Decomposing Rating Migration Matrices from Market Data Via Default Probability Term Structures
Barnard, Brian - 2017
The study builds on previous research that decomposes rating category default probability term structures from rating category interest rate term structures, and proposes a method to decompose rating migration matrices from market data, via decomposed default probability term structures. To...
Persistent link: https://www.econbiz.de/10012955816
Cover Image
Dollar borrowing, firm credit risk, and FX-hedged funding opportunities
Gálvez, Julio; Gambacorta, Leonardo; Mayordomo, Sergio; … - In: The journal of corporate finance : contracting, … 68 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012585788
Cover Image
A better criterion for forced selling in bond markets : credit ratings versus credit spreads
Choi, Jae Yong; Yi, Junesuh; Yoon, Sun-Joong - In: Finance research letters 37 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012485057