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Default correlations, macroeconomic risk and credit portfolio management

Gersbach, Hans; Lipponer, Alexander - 1999

Persistent link: https://www.econbiz.de/10001475214

Loss Given Default - Modelle zur Schätzung von Recovery Rates

Böttger, Marc (contributor); Guthoff, Anja (contributor); … - 2008

parameters. Based on these studies we suggest 6 parameters for LGD estimation. Finally an overview of LGD models is given …

Persistent link: https://www.econbiz.de/10003750324

Die empirische Bewertungsrelevanz von Split Ratings am Anleihenmarkt

Heinke, Volker G. - In: Finanzwirtschaft, Kapitalmarkt und Banken : Festschrift …, (pp. 443-462). 2003

Persistent link: https://www.econbiz.de/10001736394

Bond-CDS Implied Rating Systems

Colozza, Tommaso - 2020

two-dimensional implied rating system that gathers information from both the bond and the CDS markets. The system is able …

Persistent link: https://www.econbiz.de/10012856489

The Jarrow/Turnbull Default Risk Model Evidence from the German Market

Sögner, Leopold - 2018

depend on the estimation period and on the bond used for estimation. This result strongly supports separate estimation over … observations of German bank bond prices, based on the default-free term structure estimated from the Svensson (1994) model provided … the term structure estimation are passed on to the Jarrow/Turnbull model and that estimated default intensities strongly …

Persistent link: https://www.econbiz.de/10012923107

Unsecured credit supply risk and bond prices

Mabille, Pierre - 2020

Persistent link: https://www.econbiz.de/10012322336

A MIDAS multinomial logit model with applications for bond ratings

Jiang, Cuixia; Nie, Yubing; Xu, Qifa - In: Global finance journal 57 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014479070

Mutual funds and safe government bonds : do returns matter?

Graziano, Marco; Habib, Maurizio Michael - 2024

This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...

Persistent link: https://www.econbiz.de/10014527087

An empirical analysis of the effects of the Dodd-Frank Act on determinants of credit ratings

Ahmed, Anwer S.; Wang, Dechun; Xu, Nina - In: Journal of business finance & accounting : JBFA 51 (2024) 1/2, pp. 363-397

Persistent link: https://www.econbiz.de/10014481183

ETF risk models

Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 9 (2022) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10013407268