Showing 81 - 90 of 71,431
Persistent link: https://www.econbiz.de/10012133779
Persistent link: https://www.econbiz.de/10014005997
This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period …
Persistent link: https://www.econbiz.de/10010298261
We derive the effects of credit risk transfer (CRT) markets on real sector productivity and on the volume of financial intermediation in a model where banks choose their optimal degree of CRT and monitoring. We find that CRT increases productivity in the up-market real sector but decreases it in...
Persistent link: https://www.econbiz.de/10010263314
Diese Arbeit präsentiert einen systematischen Zugang zu der Worst-Case-Analyse des Kreditrisikos eines Portfolios aus Finanzderivaten wie Optionen und Swaps...
Persistent link: https://www.econbiz.de/10005842367
This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap …
Persistent link: https://www.econbiz.de/10005843402
Persistent link: https://www.econbiz.de/10000673513
This study provides a rigorous empirical comparison of structural and reduced-formcredit risk frameworks. As major difference we focus on the discriminative modelingof the default time. In contrast to the previous literature, we calibrate both approaches to the same data set, apply comparable...
Persistent link: https://www.econbiz.de/10008911532
We analyze the connections between the credit spreads that the same credit risk commands in different currencies. We show that the empirically observed differences in these credit spreads are mostly driven by the dependency between the default risk of the obligor and the exchange rate. In our...
Persistent link: https://www.econbiz.de/10005858879