Similar Search Results

The impact of liquidity on senior credit index spreads during the subprime crisis

Marra, Miriam - In: International Review of Financial Analysis 37 (2015) C, pp. 148-167

This paper examines the effects of liquidity during the 2007–09 crisis, focussing on the Senior Tranche of the CDX.NA.IG Index and on Moody's AAA Corporate Bond Index. It aims to understand whether the sharp increase in the credit spreads of these AAA-rated credit indices can be explained by...

Persistent link: https://www.econbiz.de/10011191084

Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities

Jakob, Kevin - In: The journal of credit risk : published quarterly by … 18 (2022) 4, pp. 29-63

Persistent link: https://www.econbiz.de/10014247865

Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224

Persistent link: https://www.econbiz.de/10011477301

Loan default correlation using an Archimedean copula approach : a case for recalibration

Fenech, Jean Pierre; Vosgha, Hamed; Shafik, Salwa - In: Economic modelling 47 (2015), pp. 340-354

Persistent link: https://www.econbiz.de/10011439450

Banks' pooling of corporate debt : an application of the restated diversification theorem

Lundtofte, Frederik - In: The North American journal of economics and finance : a … 31 (2015), pp. 249-263

Persistent link: https://www.econbiz.de/10011514232

On infectious model for dependent defaults

Ching, Wai Ki; Gud, Jia-Wen; Li, Xiaoyue; Siuf, Tak-Kuen; … - In: Risk and decision analysis 6 (2017) 4, pp. 249-261

Persistent link: https://www.econbiz.de/10011925099

Debt market illiquidity and correlated default risk

Javadi, Siamak; Mollagholamali, Mohsen - In: Finance research letters 26 (2018), pp. 266-273

Persistent link: https://www.econbiz.de/10012005695

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

Kiefer, Nicholas M. - In: Econometric reviews 36 (2017) 6/9, pp. 699-712

Persistent link: https://www.econbiz.de/10011795379

Stress-testing and credit risk revisited : a shipping sector application

Merika, Anna; Negkakis, Ioannis; Penikas, Henry - In: International journal of banking, accounting and … 12 (2021) 4, pp. 347-367

Persistent link: https://www.econbiz.de/10012694425