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Extraction of implied default probabilites and expected recovery values from a combination of bond prices and CDS spreads

Shynkevich, Andrei - In: The journal of fixed income 23 (2014) 3, pp. 91-102

Persistent link: https://www.econbiz.de/10010388886

Credit risk analysis on Euro government bonds-term structures of default probabilities

Kariya, Takeaki; Yamamura, Yoshiro; Tanokura, Yoko; … - In: Asia-Pacific financial markets 22 (2015) 4, pp. 397-427

Persistent link: https://www.econbiz.de/10011524823

Modeling term structure of default correlation

Suchintabandid, Sira - In: The journal of derivatives : the official publication … 22 (2015) 4, pp. 26-36

Persistent link: https://www.econbiz.de/10011399738

Default probabilities of privately held firms

Duan, Jin-Chuan; Kim, Baeho; Kim, Woojin; Shin, Donghwa - In: Journal of banking & finance 94 (2018), pp. 235-250

Persistent link: https://www.econbiz.de/10011966607

The reward for trading illiquid maturities in credit default swap markets

Arakelyan, Armen; Rubio, Gonzalo; Serrano, Pedro - In: International review of economics & finance : IREF 39 (2015), pp. 376-389

Persistent link: https://www.econbiz.de/10011572470

Point-in-time probability of default term structure models for multiperiod scenario loss projection

Yang, Bill Huajian - In: The journal of risk model validation 11 (2017) 1, pp. 73-94

Persistent link: https://www.econbiz.de/10011671182

Assessing sovereign default risk : a bottom-up approach

Liu, Feng; Kalotay, Egon; Trück, Stefan - In: Economic modelling 70 (2018), pp. 525-542

Persistent link: https://www.econbiz.de/10012027982

Welfare gains of bailouts in a sovereign default model

Pancrazi, Roberto; Seoane, Hernán D.; Vukotic, Marija - 2019

We examine the welfare effects of bailouts in economies exposed to sovereign default risk. When a government of a small open economy requests a bailout from an international financial institution, it receives a non-defaultable loan of size G that comes with imposed debt limits. The government...

Persistent link: https://www.econbiz.de/10012160653

Sovereign and private default risks over the business cycle

Kaas, Leo; Mellert, Jan; Scholl, Almuth - In: Journal of international economics 123 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012588294

Macroeconomic approach to point in time probability of default modeling : IFRS 9 challenges

Đurović, Andrija - In: Journal of central banking theory and practice 8 (2019) 1, pp. 209-233

This paper aims to present one possible retail estimation framework of lifetime probability of default in accordance with IFRS 9. The framework rests on "term structure of probability of default" conditional to given forward-looking macroeconomic dynamics. Due to the one of the biggest...

Persistent link: https://www.econbiz.de/10011965251