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Extracting Information from Structured Credit Markets
Noss, Joseph - 2010
Structured credit instruments offer an insight into markets’ perceptions of the extent of future credit defaults. Claims of different seniorities incur losses only if defaults reach different magnitudes, so their relative value offers an insight into the likelihood of losses being of different...
Persistent link: https://www.econbiz.de/10014188541
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Domestic debt and sovereign defaults
Mallucci, Enrico - In: Journal of money, credit and banking : JMCB 54 (2022) 6, pp. 1741-1775
Persistent link: https://www.econbiz.de/10013466484
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Japan's Distressed Debt Market
Ohashi, Kazunari - 2004
in the bid-ask prices faced by banks and distressed-debt investors continues to stall efforts to create a liquid … distressed-debt market. This paper asserts that the wedge between the prices faced by different participants is primarily a … result of different valuation methods employed by banks and distressed-debt investors. On the one hand, banks do not …
Persistent link: https://www.econbiz.de/10014401302
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Multivariate Copula-Modelle für Finanzmarktdaten : eine simulative und empirische Untersuchung
Köck, Christian - 2008
Persistent link: https://www.econbiz.de/10003717606
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Dynamic dependence and diversification in corporate credit
Christoffersen, Peter F.; Jacobs, Kris; Jin, Xisong; … - In: Review of finance : journal of the European Finance … 22 (2018) 2, pp. 521-560
Persistent link: https://www.econbiz.de/10011990811
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Managing risk in the financial system
La Brosse, John Raymond (ed.); Olivares-Caminal, Rodrigo (ed.) - 2011
Persistent link: https://www.econbiz.de/10009230484
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Correlated default and parameter risk
Schmelzle, Martin - 2018
Persistent link: https://www.econbiz.de/10012167010
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Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance
Giacomini, Enzo - 2009
Persistent link: https://www.econbiz.de/10003931427
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A systemic debt payoff policy
Wunder, Timothy - In: Journal of economic issues : jei 52 (2018) 2, pp. 490-497
Persistent link: https://www.econbiz.de/10011932719
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Sell-side debt analysts
Johnston, Rick; Markov, Stanimir; Ramnath, Sundaresh - In: Journal of accounting & economics 47 (2009) 1/2, pp. 91-107
Persistent link: https://www.econbiz.de/10003821674