Search Results - subject:"default clustering"

Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes

Pasricha, Puneet; Selvamuthu, Dharmaraja; Tardelli, Paola - In: Opsearch : journal of the Operational Research Society … 62 (2025) 2, pp. 1061-1081

Persistent link: https://www.econbiz.de/10015532943

Default clustering risk premium and its cross-market asset pricing implications

Byun, Kiwoong; Kim, Baeho; Oh, Dong Hwan - 2023

Persistent link: https://www.econbiz.de/10014377671

Credit contagion risk in German auto loans

Fenner, Arved; Vollmar, Steffen - In: The journal of credit risk : published quarterly by … 19 (2023) 4, pp. 59-99

Persistent link: https://www.econbiz.de/10014490061

Macroeconomic conditions, corporate default, and default clustering

Xing, Kai; Luo, Dan; Liu, Lanlan - In: Economic modelling 118 (2023), pp. 1-25

Persistent link: https://www.econbiz.de/10014229246

Default clustering of the nonfinancial sector and systemic risk : evidence from China

Wang, Xiaoting; Hou, Siyuan; Shen, Jie - In: Economic modelling 96 (2021), pp. 196-208

Persistent link: https://www.econbiz.de/10012745350

Network effects in default clustering for large systems

Spiliopoulos, Konstantinos; Yang, Jia - In: Applied mathematical finance 26 (2019) 6, pp. 523-582

Persistent link: https://www.econbiz.de/10012210422

Exploring the sources of default clustering

Azizpour, S; Giesecke, K.; Schwenkler, G. - In: Journal of financial economics 129 (2018) 1, pp. 154-183

Persistent link: https://www.econbiz.de/10011982177

Model risk on credit risk

Molins, J.; Vives, E. - In: Risk and decision analysis 6 (2015/2016) 1, pp. 65-78

Persistent link: https://www.econbiz.de/10011573721

Ripple effects from industry defaults

Bams, Dennis; Pisa, Magdalena; Wolff, Christiaan … - 2015

Persistent link: https://www.econbiz.de/10011565458

Giesecke, Kay - 2001

We propose a model of correlated multi-firm default with incomplete information. While public bond investors observe issuers' assets and defaults, we suppose that they are not informed about the threshold asset level at which a firm is liquidated. Bond investors form instead a prior on these...

Persistent link: https://www.econbiz.de/10010310538

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