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Determinants of credit default swaps spreads in European and Asian markets

Hassan, M. Kabir; Ngow, Thiti S.; Yu, Jung-suk; Hassan, … - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 295-310

Persistent link: https://www.econbiz.de/10010259397

What drives corporate default risk premia? : evidence from the CDS market

Díaz, Antonio; Groba, Jonatan; Serrano, Pedro - In: Journal of international money and finance 37 (2013), pp. 529-563

Persistent link: https://www.econbiz.de/10010209025

Sovereign bond spreads and credit default swap premia : cointegration and causality

Martín García, Margarita; Téllez, Cecilia; Martín … - In: Investment management and financial innovations 11 (2014) 2, pp. 47-59

Persistent link: https://www.econbiz.de/10010392834

The determinants of CDS spreads

Galil, Koresh; Shapir, Offer Moshe; Amiram, Dan; … - In: Journal of banking & finance 41 (2014), pp. 271-282

Persistent link: https://www.econbiz.de/10010408463

Persistence of volatility of sovereign credit risk in presence of structural breaks

Ngene, Geoffrey; Carley, Hannah; Hassan, Mohammad Kabir - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 10-27

Persistent link: https://www.econbiz.de/10010463011

Liquidity commonalities in the corporate CDS market around the 2007-2012 financial crisis

Mayordomo, Sergio; Rodriguez-Moreno, Maria; Peña … - In: International review of economics & finance : IREF 31 (2014), pp. 171-192

Persistent link: https://www.econbiz.de/10010490426

Spread risk premia in corporate credit default swap markets

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and capital markets : Kredit und Kapital 47 (2014) 4, pp. 571-610

Persistent link: https://www.econbiz.de/10010477424

The state dependent impact of bank exposure on sovereign risk

Podstawski, Maximilian; Velinov, Anton - 2016 - This version: February 11, 2016

The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk by acting as a disciplinary device for the...

Persistent link: https://www.econbiz.de/10011436025

Credit derivative valuation and parameter estimation for multi-factor affine CIR-type hazard rate model

Maboulou, Alma P. Bimbabou; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 3, pp. 273-285

Persistent link: https://www.econbiz.de/10011438513

A quantitative analysis of risk premia in the corporate bond market

Cecchetti, Sara - 2017

Persistent link: https://www.econbiz.de/10011947771