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Credit risk and the transmission of interest rate shocks
Palazzo, Berardino; Yamarthy, Ram - In: Journal of monetary economics 130 (2022), pp. 120-136
Persistent link: https://www.econbiz.de/10013396267
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Securitization and financial markets : the implications for interest rate pass-through
Robertson, Mari L. - In: Journal of financial economic policy 8 (2016) 4, pp. 472-498
Persistent link: https://www.econbiz.de/10011697839
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The behavior of interest rates and credit flows : persistence and cycles
Busch, Ulrike - 2011
Persistent link: https://www.econbiz.de/10009490397
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Credit default swap spreads, fair-value spreads and interest rate dynamics
Yeh, Andy Jia-yuh - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 53-129
Persistent link: https://www.econbiz.de/10009700464
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Numerical procedures for a wrong way risk model with lognormal Hazard rates and Gaussian interest rates
Ng, Leslie - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-33
Persistent link: https://www.econbiz.de/10010243617
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Essays on credit risk and credit derivatives
Bajlum, Claus - 2008
Persistent link: https://www.econbiz.de/10003761742
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Are CDS spreads sensitive to the term structure of the yield curve? : a sector-wise analysis under various market conditions
Aman, Asia - In: Journal of risk and financial management : JRFM 12 (2019) 4/158, pp. 1-13
This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U.S. industrial sectors. Stock returns and the crude oil-based volatility index are used in a quantile regression framework to test the validity of Merton’s model. The results...
Persistent link: https://www.econbiz.de/10012172992
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Spread risk premia in corporate credit default swap markets
Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and capital markets : Kredit und Kapital 47 (2014) 4, pp. 571-610
Persistent link: https://www.econbiz.de/10010477424
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Essays on credit default swap and futures markets
Kuate Kamga, Christel Merlin - 2015
Persistent link: https://www.econbiz.de/10011449764