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How could macroprudential policy affect financial system resilience and credit? : lessons from the literature

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Persistent link: https://www.econbiz.de/10010492820

Rating methodologies for banks

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Risikoprämien an verschiedenen Märkten : was Optionspreise aussagen

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The pricing of correlated default risk : evidence from the credit derivatives market

Tarashev, Nikola A. (contributor); Zhu, Haibin (contributor) - 2008

order to analyze the pricing of portfolio credit risk as revealed by tranche spreads of a popular credit default swap (CDS) index we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall level of...