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Dependence of defaults and recoveries in structural credit risk models

Schäfer, Rudi; Koivusalo, Alexander F. R. - In: Economic modelling 30 (2013), pp. 1-9

Persistent link: https://www.econbiz.de/10009702275

When is there a strong transfer risk from the sovereigns to the corporates?

Bai, Jennie; Wei, Shang-jin - 2012

When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason why international investment in private companies has to take into account the sovereign risk. But the likelihood of sovereign risk transferring to corporates and...

Persistent link: https://www.econbiz.de/10009657607

Inferring default probabilities from credit spreads

Benzschawel, Terry; Assing, Andrew - In: The journal of fixed income 21 (2012) 4, pp. 13-24

Persistent link: https://www.econbiz.de/10009670765

credit default swap

Jarrow, Robert A. - In: The journal of fixed income 21 (2012) 4, pp. 6-12

Persistent link: https://www.econbiz.de/10009670767

When is there a strong transfer risk from the sovereigns to the corporates? : property rights gaps and CDS spreads

Bai, Jennie; Wei, Shang-jin - 2012

Persistent link: https://www.econbiz.de/10009705819

Recovering portfolio default intensities implied by CDO quotes

Cont, Rama; Minca, Andreea - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 94-121

Persistent link: https://www.econbiz.de/10009712557

The impact of distressed economies on the EU sovereign market

Groba, Jonatan; Lafuente, Juan Angel; Serrano, Pedro - In: Journal of banking & finance 37 (2013) 7, pp. 2520-2532

Persistent link: https://www.econbiz.de/10009760595

Do sovergeign credit default swaps represent a clean measure of sovereign default risk? : a factor model approach

Badaoui, Saad; Cathcart, Lara; Jahel, Lina el - In: Journal of banking & finance 37 (2013) 7, pp. 2392-2407

Persistent link: https://www.econbiz.de/10009760637

A multivariate default model with spread and event risk

Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; … - In: Applied mathematical finance 21 (2014) 1/2, pp. 51-83

Persistent link: https://www.econbiz.de/10010351857

Understanding the market reaction to shockwaves : evidence from the failure of Lehman Brothers

Dumotaux, Nicolas; Pop, Adrian - In: Journal of financial stability 9 (2013) 3, pp. 269-286

Persistent link: https://www.econbiz.de/10010237087

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