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Interest rates, stock returns and credit spreads : evidence from German Eurobonds

Wagner, Niklas F.; Hogan, Warren Pat; Batten, Jonathan A. - In: Economic notes : economic review of Banca Monte dei … 34 (2005) 1, pp. 35-50

Persistent link: https://www.econbiz.de/10002984476

Credit cycle dependent spread determinants in emerging sovereign debt markets

Riedel, Christoph; Thuraisamy, Kannan S.; Wagner, Niklas F. - In: Emerging markets review 17 (2013), pp. 209-223

Persistent link: https://www.econbiz.de/10010243082

Explaining aggregate credit default swap spreads

Breitenfellner, Bastian; Wagner, Niklas F. - In: International review of financial analysis 22 (2012), pp. 18-29

Persistent link: https://www.econbiz.de/10010219703

Equities, credits and volatilities : a multivariate analysis of the European market during the subprime crisis

Schreiber, Irene; Müller, Gernot; Klüppelberg, Claudia; … - In: International review of financial analysis 24 (2012), pp. 57-65

Persistent link: https://www.econbiz.de/10009688173

Government intervention in response to the subprime financial crisis : the good into the pot, the bad into the crop

Breitenfellner, Bastian; Wagner, Niklas F. - In: International review of financial analysis 19 (2010) 4, pp. 289-297

Persistent link: https://www.econbiz.de/10009272662

Credit risk : models, derivatives, and management

Wagner, Niklas F. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003659412

Quantitative easing and the pricing of EMU sovereign debt

Kinateder, Harald; Wagner, Niklas F. - In: The quarterly review of economics and finance : journal … 66 (2017), pp. 1-12

Persistent link: https://www.econbiz.de/10011792719

Credit Cycle Dependent Spread Determinants in Emerging Sovereign Debt Markets

Riedel, Christoph - 2013

We address credit cycle dependent sovereign credit risk determinants. In our model, the spread determinants' magnitude is conditional on an unobservable endogenous sovereign credit cycle as represented by the underlying state of a Markov regime switching process. Our explanatory variables are...

Persistent link: https://www.econbiz.de/10013084983

Explaining Aggregate Credit Default Swap Spreads

Breitenfellner, Bastian - 2012

We examine risk factors that explain daily changes in aggregate credit default swap (CDS) spreads before, during and after the 2007-2009 financial crisis. Based on the European iTraxx CDS index universe, we document time-variation in the significance of spread determinants. Before and after the...

Persistent link: https://www.econbiz.de/10013116966

Are systemically important eurozone banks undercapitalized? : a stress testing approach

Kahlert, Dennis; Wagner, Niklas F. - In: Three essays on capital and liquidity, (pp. 6-52). 2018

Persistent link: https://www.econbiz.de/10012116889