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The impact of heuristics on the practice of risk management : the example of default probabilities

Deventer, Donald R. van; Zimmermann, Tom - In: Journal of risk management in financial institutions 7 (2014) 2, pp. 153-160

Persistent link: https://www.econbiz.de/10010360519

Implied default probabilities and losses given default from option prices

Conrad, Jennifer S.; Dittmar, Robert F.; Hameed, Allaudeen - In: Journal of financial econometrics 18 (2020) 3, pp. 629-652

Persistent link: https://www.econbiz.de/10012316704

A hybrid model to estimate corporate default probabilities in China based on zero-price probability model and long short-term memory

Jing, Jiabao; Yan, Wenwen; Deng, Xiaomei - In: Applied economics letters 28 (2021) 5, pp. 413-420

Persistent link: https://www.econbiz.de/10012485042

Ascertaining the inference of bank internal default probabilities variations on variable rate institutional loan prepayments

Horovitz, Andre - In: The Quarterly Journal of Finance : QJF 13 (2023) 2, pp. 1-44

Persistent link: https://www.econbiz.de/10014442255

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023 - Revised: May 17, 2023

As the debt ceiling episode unfolds, we highlight a sharp increase in activity across the U.S. credit default swaps (CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a significant increase in U.S. CDS trading activity and...

Persistent link: https://www.econbiz.de/10014249852

Asymmetric effects of noise in Merton default risk model : evidence from emerging Asia

Omar, Arti; Prasanna, P. Krishna - In: Pacific-Basin finance journal 65 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013252819

In search of distress risk in emerging markets

Asis, Gonzalo; Chari, Anusha; Haas, Adam - In: Journal of international economics 131 (2021), pp. 1-26

Persistent link: https://www.econbiz.de/10013167860