How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads
, 2009 Barry Eichengreen +3 more
openalex +1 more source
Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives [PDF]
This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and credit derivative spreads of Japanese banks.
Kimie Harada, Takatoshi Ito
core
The economic impact of credit default swap on credit markets [PDF]
This study conducts a comprehensive analysis of the economic benefits and costs of credit default swap (CDS) in credit markets since its inception.
Kim, Gi Hyun, Li, Haitao, Zhang, Weina
core
Credit ratings and credit risk [PDF]
This paper investigates the information in corporate credit ratings. We examine the extent to which firms' credit ratings measure raw probability of default as opposed to systematic risk of default, a firm's tendency to default in bad times. We find that
Jens Hilscher, Mungo Wilson
core
A Unified Framework for Pricing Credit and Equity Derivatives
, 2008 We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be calibrated to find a ...
Bayraktar, Erhan, Yang, Bo
core +1 more source
Quantitative Risk Estimation in the Credit Default Swap Market using Exteme Value Theory
, 2010 Kitty Moloney, Srinivas Raghavendra
openalex +2 more sources
Market conditions, default risk and credit spreads [PDF]
This study empirically examine the impact of market conditions on credit spreads as motivated by recently developed structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads are ...
Tang, Dragon Yongjun, Yan, Hong
core
Investigating the determinants of corporate bond credit spreads in the euro area
, 2023 Letta S, Mirante P.
europepmc +1 more source
The international spill over effect of American economy on China's macro-economy based on MCMC-Gibbs sampling algorithm. [PDF]
PLoS One, 2023 Hu J.
europepmc +1 more source
Measuring Abnormal Credit Default Swap Spreads
, 2012 Christian Andrés +2 more
openalex +1 more source