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A simple correction of the WACC discount rate for default risk and bankruptcy costs
Koziol, Christian - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 653-666
Persistent link: https://www.econbiz.de/10010433536
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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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Do correlated defaults matter for CDS premia?
Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224
Persistent link: https://www.econbiz.de/10011477301
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Do Correlated Defaults Matter for CDS Premia? An Empirical Analysis
Koziol, Christian - 2016
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/10012988732
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Tail risk management and the skewness premium
Kipp, Martin; Koziol, Christian - In: The journal of asset management : a major new, … 23 (2022) 6, pp. 534-546
Persistent link: https://www.econbiz.de/10013392130
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ESG risk premia and the impact of ESG awareness : differences between the US and the EMU markets
Koziol, Christian; Kuhn, Simon - In: The journal of portfolio management : JPM 49 (2023) 6, pp. 158-171
Persistent link: https://www.econbiz.de/10014308933