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Recovery in default risk model...
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1
Investigating the sources of default risk : lessons from empirically evaluating credit risk models
Bakshi, Gurdip S.
;
Madan, Dilip B.
;
Zhang, Frank X.
-
2001
Persistent link: https://www.econbiz.de/10001573166
Saved in:
2
Current and prospective estimate of counterparty risk through dynamic neural networks
Agnese, Alessio
;
Giribone, Pier Giuseppe
;
Querci, Francesca
- In:
Risk management magazine
17
(
2022
)
2
,
pp. 42-61
of the risks of
insolvency
it may incur by having economic relations with counterparties. This study aims to analyze the …
Persistent link: https://www.econbiz.de/10013501084
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Rating migration and bond valuation : decomposing rating migration matrices from market data via default probability term structures
Barnard, Brian
- In:
Expert journal of finance
5
(
2017
),
pp. 49-72
Persistent link: https://www.econbiz.de/10011749658
Saved in:
6
Rating migration and bond valuation : a historical interest rate and default probability term structures
Barnard, Brian
- In:
Expert journal of finance
6
(
2018
)
1
,
pp. 16-39
Persistent link: https://www.econbiz.de/10012053529
Saved in:
7
Corporate yield spreads: default risk or liquidity? : new evidence from the credit-default swap market
Longstaff, Francis A.
;
Mithal, Sanjay
;
Neis, Eric
-
2004
Persistent link: https://www.econbiz.de/10002022642
Saved in:
8
Corporate yield spreads : default tisk or liquidity? : New evidence from the credit default swap market
Longstaff, Francis A.
;
Mithal, Sanjay
;
Neiss, Eric
- In:
The journal of finance : the journal of the American …
60
(
2005
)
5
,
pp. 2213-2254
Persistent link: https://www.econbiz.de/10003159306
Saved in:
9
Strategic actions and credit spreads : an empirical investigation
Davydenko, Sergei A.
;
Strebulaev, Ilya A.
- In:
The journal of finance : the journal of the American …
62
(
2007
)
6
,
pp. 2633-2671
Persistent link: https://www.econbiz.de/10003593789
Saved in:
10
Is it obligor or instrument that explains recovery rate : evidence from US corporate bond
Yao, Xiao
;
Crook, Jonathan N.
;
Andreeva, Galina
- In:
Journal of financial stability
28
(
2017
),
pp. 1-15
Persistent link: https://www.econbiz.de/10011825500
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