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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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A Markov model for the term structure of credit risk spreads
Jarrow, Robert A. - In: The review of financial studies 10 (1997) 2, pp. 481-523
Persistent link: https://www.econbiz.de/10001220567
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Testing for parameter instability across different modeling frameworks
Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
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Nowcasting and forecasting global financial sector stress and credit market dislocation
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - In: International journal of forecasting 30 (2014) 3, pp. 741-758
Persistent link: https://www.econbiz.de/10010515585
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Financial crises and economic growth
Jarrow, Robert A. - In: The quarterly review of economics and finance : journal … 54 (2014) 2, pp. 194-207
Persistent link: https://www.econbiz.de/10010466553
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Global credit risk : world, country and industry factors
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - In: Journal of applied econometrics 32 (2017) 2, pp. 296-317
Persistent link: https://www.econbiz.de/10011689783
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An analytic approach to credit risk of large corporate bond and loan portfolios
Lucas, André (contributor) - In: Journal of banking & finance 25 (2001) 9, pp. 1635-1664
Persistent link: https://www.econbiz.de/10001603572
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The intersection of market and credit risk
Jarrow, Robert A.; Turnbull, Stuart M. - In: Journal of banking & finance 24 (2000) 1/2, pp. 271-299
Persistent link: https://www.econbiz.de/10001432993
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Tail behaviour of credit loss distributions for general latent factor models
Lucas, André; Klaassen, Pieter; Spreij, Peter; … - In: Applied mathematical finance 10 (2003) 4, pp. 337-357
Persistent link: https://www.econbiz.de/10001864390
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Business and default cycles for credit risk
Koopman, Siem Jan; Lucas, André - In: Journal of applied econometrics 20 (2005) 2, pp. 311-323
Persistent link: https://www.econbiz.de/10002729166