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The relevance of credit ratings in transparent bond markets
Badoer, Dominique C.; Demiroglu, Cem - In: The review of financial studies 32 (2019) 1, pp. 42-74
Persistent link: https://www.econbiz.de/10012033370
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Legal considerations when managing counterparty credit risk in OTC derivatives
Miller, Edward; Reid, Sarah - In: Journal of securities operations & custody 4 (2011/12) 1, pp. 72-80
Persistent link: https://www.econbiz.de/10009245172
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Measuring counterparty credit exposure to a margined counterparty
Gibson, Michael S. - 2005
Persistent link: https://www.econbiz.de/10003187319
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Can the financial markets privately regualte risk? : The development of derivatives clearinghouses and recent over-the-counter innovations
Kroszner, Randall S. - In: Journal of money, credit and banking : JMCB 31 (1999) 3,2, pp. 596-618
Persistent link: https://www.econbiz.de/10001412032
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The Determinants of OTC U.S. Corporate Bonds’ Credit Spread Changes
Wang, Bo - 2014
Based on the structural model, macroeconomic and liquidity factors are tested against credit spread changes in American OTC corporate bonds. I discovered that the volatility of long run Treasury yield has even greater explanatory power than the yield itself. Macroeconomic indicators, such as...
Persistent link: https://www.econbiz.de/10013053699
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Counterparty risk in over-the-counter markets
Frei, Christoph; Capponi, Agostino; Brunetti, Celso - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 3, pp. 1058-1082
Persistent link: https://www.econbiz.de/10013187330
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Municipal Bond Markets
Schürhoff, Norman; Li, Dan; Cestau, Dario; Hollifield, … - 2018
Persistent link: https://www.econbiz.de/10012037892
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A novel credit rating migration modeling approach using macroeconomic indicators
Berteloot, Koen; Verbeke, Wouter; Castermans, Gerd; Van … - In: Journal of forecasting 32 (2013) 7, pp. 654-672
Persistent link: https://www.econbiz.de/10010202164
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Building a credit model using GSE loan-level data
Anderson, Scott; Jozwik, Janet - In: The journal of structured finance 20 (2014/15) 1, pp. 19-36
Persistent link: https://www.econbiz.de/10010373735
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Banks' risk dynamics and distance to default
Nagel, Stefan; Purnanandam, Amiyatosh - In: The review of financial studies 33 (2020) 6, pp. 2421-2467
Persistent link: https://www.econbiz.de/10012244750