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High dimensional dynamic stochastic copula models

Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345

Persistent link: https://www.econbiz.de/10011504544

Exploring for the determinants of credit risk in credit default swap transaction data : is fixed-income markets' information sufficient to evaluate credit risk?

Aunon-Nerin, Daniel; Cossin, Didier; Hricko, Tomas; … - 2002

Persistent link: https://www.econbiz.de/10001743415

Essays on risk management of financial institutions : systematic risk, cross-sectional pricing of risk factors, parameter errors affecting risk measures, and credit decisions under parameter uncertainty

Claußen, Arndt - 2015

Credit risk, systematic risk, parameter uncertainty. - Kreditrisiko, systematische Risiken, Parameterunsicherheit …

Persistent link: https://www.econbiz.de/10015206137

Claußen, Arndt - 2015

Credit risk, systematic risk, parameter uncertainty. - Kreditrisiko, systematische Risiken, Parameterunsicherheit …

Persistent link: https://www.econbiz.de/10011411507

European systemic credit risk transmission using Bayesian networks

Ballester, Laura; López, Jesúa; Pavia, José Manuel - In: Research in international business and finance 65 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014432478

Intensity Gamma : a new approach to pricing portfolio credit derivatives

Joshi, Mark S. (contributor); Stacey, Alan M. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003297306

Elliptical and archimedean copula models : an application to the price estimation of portfolio credit derivatives

Umeorah, Nneka; Mashele, Phillip; Ehrhardt, Matthias - In: The journal of credit risk : published quarterly by … 17 (2021) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10012519958

Price discovery in the markets for credit risk : a Markov switching approach

Dimpfl, Thomas; Peter, Franziska Julia - 2015

We examine price discovery in the Credit Default Swap and corporate bond market. By using a Markov switching framework we are able to analyze the dynamic behavior of the information shares during tranquil and crisis periods. The results show that price discovery takes place mostly on the CDS...

Persistent link: https://www.econbiz.de/10011296774

The empirical determinants of credit default swap spreads : a quantile regression approach

Pires, Pedro; Pereira, João Pedro; Martins, Luís Filipe - In: European financial management : the journal of the … 21 (2015) 3, pp. 556-589

Persistent link: https://www.econbiz.de/10011317990

Political contributions and the price of credit risk : evidence from credit default swaps

Fang, Shunlan; Hanouna, Paul; Ovtchinnikov, Alexei V.; … - 2017

Firm political contributions are associated with lower credit default swap spreads for contributing firms. To address endogeneity, we employ novel instruments and use a set of exogenous events on campaign contribution restrictions: (a) the passage of the Bipartisan Campaign Reform Act (BCRA)...

Persistent link: https://www.econbiz.de/10011955864