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Estimating loss given default from CDS under weak identification
Liu, Lily Y. - In: Journal of financial econometrics 20 (2022) 2, pp. 310-344
Persistent link: https://www.econbiz.de/10013187982
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Counterparty risk for CDS : default clustering effects
Bo, Lijun; Capponi, Agostino - In: Journal of banking & finance 52 (2015), pp. 29-42
Persistent link: https://www.econbiz.de/10011377294
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Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
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Market-based credit ratings
Creal, Drew; Gramacy, Robert B.; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 430-444
Persistent link: https://www.econbiz.de/10010488477
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Do correlated defaults matter for CDS premia?
Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224
Persistent link: https://www.econbiz.de/10011477301
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Explaining credit ratings through a perpetual-debt structural model
Barone, Gaia - In: The journal of credit risk : published quarterly by … 17 (2021) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10012671409
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Explaining aggregate credit default swap spreads
Breitenfellner, Bastian; Wagner, Niklas F. - In: International review of financial analysis 22 (2012), pp. 18-29
Persistent link: https://www.econbiz.de/10010219703
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Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun; Capponi, Agostino - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 785-834
Persistent link: https://www.econbiz.de/10011583805