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Disastrous defaults
Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; … - 2021
Persistent link: https://www.econbiz.de/10012614604
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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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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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Survey of credit risk models in relation to capital adequacy framework for financial institutions
Nacaskul, Poomjai - In: Journal of governance and regulation : international … 5 (2016) 4, pp. 68-84
Persistent link: https://www.econbiz.de/10011673803
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Bayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates
Ando, Tomohiro - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 454-465
Persistent link: https://www.econbiz.de/10010251681
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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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Modeling CDS spreads : a comparison of some hybrid approaches
Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide - In: Journal of empirical finance 57 (2020), pp. 107-124
Persistent link: https://www.econbiz.de/10012430444
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Pricing default risk in stochastic time
Harju, Antti J. - In: The journal of credit risk : published quarterly by … 19 (2023) 3, pp. 23-49
Persistent link: https://www.econbiz.de/10014489139
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Can structural models price default risk? : evidence from bond and credit derivative markets
Ericsson, Jan; Reneby, Joel; Wang, Hao - In: The quarterly journal of finance 5 (2015) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10011381483
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A multivariate default model with spread and event risk
Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; … - In: Applied mathematical finance 21 (2014) 1/2, pp. 51-83
Persistent link: https://www.econbiz.de/10010351857