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Modeling the effect of macroeconomic factors on corporate default and credit rating transitions

Figlewski, Stephen; Frydman, Halina; Liang, Weijian - In: International review of economics & finance : IREF 21 (2012) 1, pp. 87-105

Persistent link: https://www.econbiz.de/10009428084

Modeling the effect of macroeconomic factors on corporate default and credit rating transitions

Figlewski, Stephen; Frydman, Halina; Liang, Weijian - In: International review of economics & finance : IREF 21 (2012) 1, pp. 87-106

Persistent link: https://www.econbiz.de/10009816935

Modeling the effect of macroeconomic factors on corporate default and credit rating transitions

Figlewski, Stephen; Frydman, Halina; Liang, Weijian - In: International Review of Economics & Finance 21 (2012) 1, pp. 87-105

We explore how general economic conditions impact defaults and major credit rating changes by fitting reduced-form Cox intensity models with a broad range of macroeconomic and firm-specific ratings-related variables. For all corporate issuers in the period 1981–2002 we find both types of...

Persistent link: https://www.econbiz.de/10010688131

Optimal investment in a defaultable bond

Lakner, Peter; Liang, Weijian - In: Mathematics and financial economics 1 (2008) 3/4, pp. 283-310

Persistent link: https://www.econbiz.de/10003722534

Estimation in the mixture of Markov chains moving with different speeds

Frydman, Halina - In: Journal of the American Statistical Association : JASA 100 (2005) 471, pp. 1046-1053

Persistent link: https://www.econbiz.de/10003107983

Viewing the financial crisis from 20,000 feet up

Figlewski, Stephen - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 53-61

Persistent link: https://www.econbiz.de/10003852624

Future tradings and volatility in the GNMA market

Figlewski, Stephen - In: The journal of finance : the journal of the American … 36 (1981) 2, pp. 445-456

Persistent link: https://www.econbiz.de/10003547744

Hedging performance and basis risk in stock index futures

Figlewski, Stephen - In: The journal of finance : the journal of the American … 39 (1984) 3, pp. 657-669

Persistent link: https://www.econbiz.de/10002165469

Information diversity and market behavior

Figlewski, Stephen - In: The journal of finance : the journal of the American … 37 (1982) 1, pp. 87-102

Persistent link: https://www.econbiz.de/10002165471

The informational effects of restrictions on short sales : some empirical evidence

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Persistent link: https://www.econbiz.de/10002146824

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