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Is credit default swap spread a leading indicator of bank default risk? : evidence of Indian banks during the COVID-19 pandemic

Srivastava, Vikas - In: International journal of Indian culture and business … 28 (2023) 3, pp. 384-400

Persistent link: https://www.econbiz.de/10014318289

Stochastic default risk estimation evidence from the South African financial market

Alfeus, Mesias; Fitzhenry, Kirsty; Lederer, Alessia - In: Computational economics 64 (2024) 3, pp. 1715-1756

Persistent link: https://www.econbiz.de/10015143953

Does modeling framework matter? : a comparative study of structural and reduced-form models

Gündüz, Yalın; Uhrig-Homburg, Marliese - In: Review of derivatives research 17 (2014) 1, pp. 39-78

Persistent link: https://www.econbiz.de/10010519295

Exposure at default modeling with default intensities

Witzany, Jiří - In: European financial and accounting journal : EFAJ 6 (2011) 4, pp. 20-48

The paper provides an overview of the Exposure at Default (EAD) definition, requirements, and estimation methods as set by the Basel II regulation. A new methodology connected to the intensity of default modeling is proposed. The numerical examples show that various estimation techniques may...

Persistent link: https://www.econbiz.de/10011460072