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Equity market information and credit risk signaling : a quantile cointegrating regression approach

Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59

Persistent link: https://www.econbiz.de/10011756467

Liquidity tail risk and credit default swap spreads

Irresberger, Felix; Weiß, Gregor; Gabrysch, Janet; … - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1137-1153

Persistent link: https://www.econbiz.de/10011866884

Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps

Huang, Jhe-Jheng; So, Leh-Chyan - In: Journal of mathematical finance 8 (2018) 2, pp. 382-407

Persistent link: https://www.econbiz.de/10011874816

Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

Persistent link: https://www.econbiz.de/10012628654

Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

Floating Rate Instruments and Swaps -- 8 Stocks, Stock Markets and Stock Indices -- Part 2 Futures and Options -- 9 Futures and … Forwards -- 10 Options (I): General Description, Parity Relations, Basic Concepts and Valuation Using the Binomial Model -- 11 … Options (II): Continuous-Time Models, Black–Scholes and Extensions -- 12 Option Portfolio Strategies: Tools and Methods -- 13 …

Persistent link: https://www.econbiz.de/10013441427

Portfolio diversification in the sovereign credit swap markets

Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stauros Andrea - 2016

Persistent link: https://www.econbiz.de/10011539351

The determinants of CDS spreads : evidence from the model space

Pelster, Matthias; Vilsmeier, Johannes - 2016

We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and specifications used elsewhere in the literature,...

Persistent link: https://www.econbiz.de/10011561899

Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 181-195

Persistent link: https://www.econbiz.de/10011894575

Assessment of time-varying systemic risk in credit default swap indices : simultaneity and contagiousness

Choe, Geon Ho; Choi, So Eun; Jang, Hyun Jin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012666122

The determinants of CDS spreads : evidence from the model space

Pelster, Matthias; Vilsmeier, Johannes - In: Review of derivatives research 21 (2018) 1, pp. 63-118

Persistent link: https://www.econbiz.de/10012055732