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Forecasting sovereign default risk with Merton's model
Duyvesteyn, Johan; Martens, Martin - In: The journal of fixed income 25 (2015) 2, pp. 58-71
Persistent link: https://www.econbiz.de/10011399885
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Valuing default swaps under market and credit risk correlation
Jarrow, Robert A.; Yildirim, Yildiray - In: The journal of fixed income 11 (2001) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10001701698
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Testing for rating consistency in annual default rates
Cantor, Richard; Falkenstein, Eric G. - In: The journal of fixed income 11 (2001) 2, pp. 36-51
Persistent link: https://www.econbiz.de/10001618874
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Negative equity trumps unemployment in predicting defaults
Goodman, Laurie Sharon; Ashworth, Roger; Landy, Brian; … - In: The journal of fixed income 19 (2009/10) 4, pp. 67-72
Persistent link: https://www.econbiz.de/10003970355
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A dynamic look at subprime loan performance
Danis, Michelle A.; Pennington-Cross, Anthony - In: The journal of fixed income 15 (2005) 1, pp. 28-39
Persistent link: https://www.econbiz.de/10003018752
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Annual default rates are probably less than long-run average annual default rates
Kiefer, Nicholas Maximilian - In: The journal of fixed income 18 (2008/09) 2, pp. 85-87
Persistent link: https://www.econbiz.de/10003777628