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Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
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Die Risikostruktur von Industrieanleihen : eine ökonometrische Untersuchung unter Verwendung ordinaler Kredit-Ratings
Tessin, Peter von - 1999
Persistent link: https://www.econbiz.de/10001370932
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Sovereign risk, credit ratings and the recent financial crises in emerging markets
Kräussl, Roman - 2003
Persistent link: https://www.econbiz.de/10001764715
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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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Validation of rating systems
Güttler, André - 2005
Persistent link: https://www.econbiz.de/10003226136
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The Basel II risk parameters : estimation, validation, and stress testing : with 58 tables
Engelmann, Bernd (ed.); Rauhmeier, Robert (ed.) - 2006
Persistent link: https://www.econbiz.de/10003288108
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Measuring default risk premia from default swap rates and EDFs
Berndt, Antje; Douglas, Rohan; Duffie, Darrell; … - 2005
Persistent link: https://www.econbiz.de/10002671389
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Credit risk rating migration and unobserved borrower heterogeneity
Stokes, Jeffrey R.; Dressler, Jonathan B.; … - In: Agricultural finance review 68 (2008) 2, pp. 237-253
Persistent link: https://www.econbiz.de/10003797266
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Debt rating downgrades of financial institutions : causality tests on single-issue CDS and iTraxx
Nataf, Olivier; Moor, Lieven de - In: Quantitative finance 19 (2019) 12, pp. 1975-1993
Persistent link: https://www.econbiz.de/10015123061
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Forecasting bank credit ratings
Gkonkas, Periklēs; Papadimitriou, Theophilos; … - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 195-209
Persistent link: https://www.econbiz.de/10010337459