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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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The impact of the Federal Reserve's Large-Scale Asset Purchase Programs on corporate credit risk
Gilchrist, Simon; Zakrajšek, Egon - 2013
Persistent link: https://www.econbiz.de/10009790265
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Quantifying liquidity and default risks of corporate bonds over the business cycle
Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - In: The review of financial studies 31 (2018) 3, pp. 852-897
Persistent link: https://www.econbiz.de/10011925272
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A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information
Kwon, Tae Yeon - In: The journal of risk model validation 10 (2016) 3, pp. 21-48
Persistent link: https://www.econbiz.de/10011587693
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Asymmetric determinants of CDS spreads : U.S. industry-level evidence through the NARDL approach
Shahzad, Syed Jawad Hussain; Nor, Safwan Mohd; Ferrer, … - In: Economic modelling 60 (2017), pp. 211-230
Persistent link: https://www.econbiz.de/10011734203
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Quantifying liquidity and default risks of corporate bonds over the business cycle
Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - 2014
Persistent link: https://www.econbiz.de/10010440778
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European systemic credit risk transmission using Bayesian networks
Ballester, Laura; López, Jesúa; Pavia, José Manuel - In: Research in international business and finance 65 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014432478
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Introducing an analytical solution and an improved one-factor gaussian copula model for the pricing of heterogeneous CDOs
Gao, Xin; Wu, Binlin; Schäfer, Tobias - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-17
Persistent link: https://www.econbiz.de/10011778286
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Elliptical and archimedean copula models : an application to the price estimation of portfolio credit derivatives
Umeorah, Nneka; Mashele, Phillip; Ehrhardt, Matthias - In: The journal of credit risk : published quarterly by … 17 (2021) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10012519958
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Increment variance reduction techniques with an application to multi-name credit derivatives
Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: Computational economics 55 (2020) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10012222571