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Political risk and expected government bond returns

Duyvesteyn, Johan; Martens, Martin; Verwijmeren, Patrick - In: Journal of empirical finance 38 (2016), pp. 498-512

Persistent link: https://www.econbiz.de/10011664803

Slow- and Fast-Moving Information Content of CDS Spreads : New Endogenous Systematic Factors

Lin, Ming-Tsung - 2019

This paper proposes two new Credit Default Swap (CDS) endogenous systematic factors constructed from peer-CDS information. The factors capture slow-moving credit risk information, as well as fast-moving newly arrived market information embedded in the most recent CDS quotes. Using a sample of...

Persistent link: https://www.econbiz.de/10012905002

Structural credit loss distributions under non-normality

Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: The journal of fixed income 23 (2013) 1, pp. 56-75

Persistent link: https://www.econbiz.de/10009783200

Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model

Lee, Yong Woong; Poon, Ser-Huang - In: The journal of credit risk : published quarterly by … 10 (2014) 1, pp. 33-61

Persistent link: https://www.econbiz.de/10010373355

Fast approximation of loan portfolio loss

Bai, Jenny; Seppälä, Heikki; Poon, Ser-Huang - In: Global credit review 4 (2014), pp. 67-85

Persistent link: https://www.econbiz.de/10010422179

Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

Lee, Yong Woong; Poon, Ser-Huang - In: Journal of economic dynamics & control 41 (2014), pp. 69-92

Persistent link: https://www.econbiz.de/10010425019

The robustness of estimatiors in structural credit loss distributions

Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 67-97

Persistent link: https://www.econbiz.de/10011298505

Credit contagion in the presence of non-normal shocks

Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: International review of financial analysis 37 (2015), pp. 129-139

Persistent link: https://www.econbiz.de/10011317232

Loan portfolio loss models with more flexible asymmetry and tails for Korean banks and a comparison of their regional concentrations

Lee, Yong Woong; Poon, Ser-Huang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 118-139

Persistent link: https://www.econbiz.de/10011404418

Slow- and fast-moving information content of CDS spreads : new endogenous systematic factors

Lin, Ming-Tsung; Kolokolova, Olga; Poon, Ser-Huang - In: The European journal of finance 27 (2021) 1/2, pp. 136-157

Persistent link: https://www.econbiz.de/10012424932