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Essays in financial economics and credit risk
Hilscher, Jens - 2005
Persistent link: https://www.econbiz.de/10003384505
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Essays on credit risk, interest rate risk and macroeconomic risk
Hou, Yuanfeng - 2003
Persistent link: https://www.econbiz.de/10003628359
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Hedging bonds subject to credit risk
Skinner, Frank S. - In: Journal of banking & finance 22 (1998) 3, pp. 321-345
Persistent link: https://www.econbiz.de/10001238387
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Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries
Acharya, Viral V.; Bharath, Sreedhar T.; Srinivasan, Anand - In: Journal of financial economics 85 (2007) 3, pp. 787-821
Persistent link: https://www.econbiz.de/10003538062
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An empirical analysis of bond recovery rates : exploring a stuctural view of default
Covitz, Daniel M.; Han, Song - 2005
Persistent link: https://www.econbiz.de/10002634054
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Default correlation among investment-grade borrowers
Erturk, Erkan - In: The journal of fixed income 9 (2000) 4, pp. 55-59
Persistent link: https://www.econbiz.de/10001495251
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Real interest rates and the default rate on high-yield bonds
Fridson, Martin S. - In: The journal of fixed income 7 (1997) 2, pp. 29-34
Persistent link: https://www.econbiz.de/10001229963
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Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions
Belke, Ansgar; Gokus, Christian - 2011
to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …
Persistent link: https://www.econbiz.de/10010209431
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Exploring the market risk profiles of U.S. and European life insurers
Grochola, Nicolaus; Browne, Mark Joseph; Gründl, Helmut; … - 2021
Market risks account for an integral part of life insurers' risk profiles. This paper explores the market risk sensitivities of insurers in two large life insurance markets, namely the U.S. and Europe. Based on panel regression models and daily market data from 2012 to 2018, we analyze the...
Persistent link: https://www.econbiz.de/10012624933
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Measuring plausibility of hypothetical interest rate shocks
Golub, Bennet W.; Tilman, Leo M. - In: Advanced bond portfolio management : best practices in …, (pp. 249-266). 2006
Persistent link: https://www.econbiz.de/10003280215