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Equity market information and credit risk signaling : a quantile cointegrating regression approach
Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59
Persistent link: https://www.econbiz.de/10011756467
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Property rights and CDS spreads : when is there a strong transfer risk from the sovereigns to the corporates?
Baines, Sarah Jane; Wei, Shang-jin - In: The quarterly journal of finance 7 (2017) 4, pp. 1-36
Persistent link: https://www.econbiz.de/10011774182
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Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Lee, Yong Woong; Poon, Ser-Huang - In: Journal of economic dynamics & control 41 (2014), pp. 69-92
Persistent link: https://www.econbiz.de/10010425019
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Equity and CDS sector indices : dynamic models and risk hedging
Caporin, Massimiliano - In: The North American journal of economics and finance : a … 25 (2013), pp. 261-275
Persistent link: https://www.econbiz.de/10009779255
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Banking stress test effects on returns and risks
Neretina, Ekaterina; Sahin, Cenkhan; Haan, Jakob de - 2014
Persistent link: https://www.econbiz.de/10010343579
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Do sovergeign credit default swaps represent a clean measure of sovereign default risk? : a factor model approach
Badaoui, Saad; Cathcart, Lara; Jahel, Lina el - In: Journal of banking & finance 37 (2013) 7, pp. 2392-2407
Persistent link: https://www.econbiz.de/10009760637
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A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
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The pricing of portfolio credit risk
Tarashev, Nikola A.; Zhu, Haibin - 2006
Persistent link: https://www.econbiz.de/10003376553
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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
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Hedging interest rate risk in high-yield bonds
Rudin, Alexander - In: Derivatives Applications in Asset Management : From …, (pp. 377-383). 2025
Persistent link: https://www.econbiz.de/10015434680