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Credit risk models: an analysis of default correlation
Qi, Howard; Xie, Yan Alice; Liu, Sheen - In: The international journal of business and finance … 4 (2010) 1, pp. 37-49
Persistent link: https://www.econbiz.de/10003955684
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Understanding aggregate default rates of high-yield bonds
Helwege, Jean - In: The journal of fixed income 7 (1997) 1, pp. 55-61
Persistent link: https://www.econbiz.de/10001223524
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Understanding aggregate default rates of high yield bonds
Helwege, Jean - In: Current issues in economics and finance 2 (1996) 6
Persistent link: https://www.econbiz.de/10001226170
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The empirical relation between credit quality, recovery, and correlation
Rösch, Daniel; Scheule, Harald - 2009
Persistent link: https://www.econbiz.de/10003975032
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Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - 2005
Persistent link: https://www.econbiz.de/10003228299
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
correlation. -- Asset Value ; Correlation ; Credit Portfolio ; Loss Given Default ; Merton Model ; Probability of Default …
Persistent link: https://www.econbiz.de/10003846062
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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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The integration of the credit default swap markets during the US subprime crisis : dynamic correlation analysis
Wang, Ping; Moore, Tomoe - In: Journal of international financial markets, … 22 (2012) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10009540854
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Testing for rating consistency in annual default rates
Cantor, Richard; Falkenstein, Eric G. - In: The journal of fixed income 11 (2001) 2, pp. 36-51
Persistent link: https://www.econbiz.de/10001618874
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Pro-cyclicality, empirical credit cycles, and capital buffer formation
Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002
Persistent link: https://www.econbiz.de/10001718549