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Survival analysis and ROC analysis in analyzing credit risks : assessing default risks over time
Hu, Nan; Cheng, Haojie - In: Analyzing risk through probabilistic modeling in …, (pp. 380-403). 2016
Persistent link: https://www.econbiz.de/10011476968
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Estimation of credit default probabilities in the context of network dependency
Pelican, Andrin - In: Essays in game theory and network economics, (pp. 61-90). 2019
Persistent link: https://www.econbiz.de/10012130926
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Do NPL portfolio sales help reduce banks' financing costs?
Manz, Florian; Kiesel, Florian; Schiereck, Dirk - In: Non-performing loans : determinants - default - divestiture, (pp. 116-137). 2019
Persistent link: https://www.econbiz.de/10012613732
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Credit Value Adjustment in the Extended Structural Default Model
Lipton, Alexander; Rennie, Andrew - In: The Oxford handbook of credit derivatives. 2012
Persistent link: https://www.econbiz.de/10012882002
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Credit default swaps
Bomfim, Antúlio N. - In: Research handbook of financial markets, (pp. 429-450). 2023
Persistent link: https://www.econbiz.de/10014331088
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Forecasting credit default swap premiums with Google search volume
Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 52-85). 2016
Persistent link: https://www.econbiz.de/10011733592
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Credit default swaps and systemic risk
Cont, Rama; Minca, Andreea - In: Operations research confronting the crisis, (pp. 523-547). 2016
Persistent link: https://www.econbiz.de/10011589899
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The role of Asian Credit Default Swap index in portfolio risk management
Liu, Jianxu; Chatchai Khiewngamdee; Songsak Sriboonchitta - In: Robustness in econometrics, (pp. 435-447). 2017
Persistent link: https://www.econbiz.de/10011801781
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Forecasting Asian Credit Default Swap Spreads : a comparison of multi-regime models
Chatchai Khiewngamdee; Woraphon Yamaka; Songsak … - In: Robustness in econometrics, (pp. 471-489). 2017
Persistent link: https://www.econbiz.de/10011801798
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Liquidity risk in credit default swap markets
Junge, Benjamin; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 1-33, 105-123). 2016
The first chapter, which is joint work with Anders B. Trolle, analyzes whether liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). The analysis is based on a factor pricing model and a tradable liquidity factor that is constructed from returns on index...
Persistent link: https://www.econbiz.de/10011903311