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Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies

Karimalis, Emmanouil; Kosmidis, Ioannis; Peters, Gareth - 2017

Persistent link: https://www.econbiz.de/10011669383

Estimation of default risk through Merton's distance to default model : an empirical study of four Indian Public Sector banks

Bendigeri, Raghavendra S. - In: International journal of business and globalisation : IJBG 37 (2024) 4, pp. 535-554

Persistent link: https://www.econbiz.de/10015063989

Is climate transition risk priced into corporate credit risk? : evidence from credit default swaps

Ugolini, Andrea; Reboredo, Juan Carlos; Ojea-Ferreiro, … - In: Research in international business and finance 70 (2024) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10015055853

Corporate credit default swap systematic factors

Chan, Ka Kei; Lin, Ming-Tsung; Lu, Qinye - In: The journal of futures markets 44 (2024) 7, pp. 1224-1256

Persistent link: https://www.econbiz.de/10014553983

Developments in CDS markets : a review on recent CDS studies

Hu, Xingyi; Zhong, Zhaodong - 2024

Persistent link: https://www.econbiz.de/10015047738

A credit spread decomposition : a resolution of the credit spread puzzle

Jarrow, Robert A. - In: The Quarterly Journal of Finance : QJF 14 (2024) 4, pp. 1-14

Persistent link: https://www.econbiz.de/10015399494

The correlation puzzle : the interaction of bond and risk correlation

Bethke, Sebastian; Kempf, Alexander; Gehde-Trapp, Monika - 2013 - This version: August 7, 2013

Diversification benefits depend on the correlation between assets. Unfortunately, asset correlation increases when it is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be higher during the financial crisis in 2008. Increased bond...

Persistent link: https://www.econbiz.de/10009777926

Informed bond trading, corporate yield spreads, and corporate default prediction

Han, Song; Zhou, Xing - In: Management science : journal of the Institute for … 60 (2014) 3, pp. 675-694

Persistent link: https://www.econbiz.de/10010347894

A spread-return mean-reverting model for credit spread dynamics

O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10010364761

Economic uncertainty, disagreement, and credit markets

Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - In: Management science : journal of the Institute for … 60 (2014) 5, pp. 1281-1296

Persistent link: https://www.econbiz.de/10010369813