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Disrupted links between credit default swaps, bonds and equities during the GM and Ford crisis in 2005

Coudert, Virginie; Gex, Mathieu - In: Applied financial economics 20 (2010) 22/24, pp. 1769-1792

Persistent link: https://www.econbiz.de/10009012368

Quantifying liquidity and default risks of corporate bonds over the business cycle

Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - In: The review of financial studies 31 (2018) 3, pp. 852-897

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Trends in credit basis spreads

Boyarchenko, Nina; Gupta, Pooja; Steele, Nick; Yen, … - In: Economic policy review 24 (2018) 2, pp. 15-37

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Commonality in liquidity in the US corporate bond market

Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 86-129). 2016

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Quantifying liquidity and default risks of corporate bonds over the business cycle

Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - 2014

Persistent link: https://www.econbiz.de/10010440778

The economics of credit default swaps

Jarrow, Robert A. - In: Annual review of financial economics 3 (2011), pp. 235-257

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Price discovery in the markets for credit risk : a Markov switching approach

Dimpfl, Thomas; Peter, Franziska Julia - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 233-249

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Current and prospective estimate of counterparty risk through dynamic neural networks

Agnese, Alessio; Giribone, Pier Giuseppe; Querci, Francesca - In: Risk management magazine 17 (2022) 2, pp. 42-61

The estimate of the probability of default plays a central role for any financial entity that wants to have an overview of the risks of insolvency it may incur by having economic relations with counterparties. This study aims to analyze the calculation of such measure in the context of...

Persistent link: https://www.econbiz.de/10013501084

Corporate credit default swap liquidity and its implications for corporate bond spreads

Chen, Ren-Raw; Fabozzi, Frank J.; Sverdlove, Ronald - In: The journal of fixed income 20 (2010/11) 2, pp. 31-57

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Understanding corporate bond spreads using credit default swaps

García, Alejandro; Yang, Jun - In: Bank of Canada review (2008/09) 4, pp. 23-31

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