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How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches

Scheicher, Martin - 2008

This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...

Persistent link: https://www.econbiz.de/10011604956

Credit risk correlation and the cost of bank loans

Javadi, Siamak; Osah, Theophilus Teye - In: Financial management : FM 53 (2024) 4, pp. 795-832

Persistent link: https://www.econbiz.de/10015130700

The impact of global shocks on sovereign risk : role of domestic factors

Inoguchi, Masahiro - In: Economic systems 49 (2025) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10015413307

A stochastic correlation model with time change for pricing credit spread options

Tong, Zhigang; Liu, Allen - In: Journal of mathematical finance 7 (2017) 2, pp. 445-466

Persistent link: https://www.econbiz.de/10011673996

Spread term structure and default correlation

Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223

Persistent link: https://www.econbiz.de/10011592744

Investor sentiment, flight-to-quality, and corporate bond comovement

Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 9-51). 2016

Persistent link: https://www.econbiz.de/10011733591

Forecasting credit default swap premiums with Google search volume

Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 52-85). 2016

Persistent link: https://www.econbiz.de/10011733592

Commonality in liquidity in the US corporate bond market

Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 86-129). 2016

Persistent link: https://www.econbiz.de/10011733594

Geostatistical modeling of dependent credit spreads : estimation of large covariance matrices and imputation of missing data

Hüttner, Amelie; Scherer, Matthias; Gräler, Benedikt - In: Journal of banking & finance 118 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012521061

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