Results 111 to 120 of about 42,935 (251)
Are all Credit Default Swap databases equal? [PDF]
The presence of different prices in different databases for the same securities can impair the comparability of research efforts and seriously damage the management decisions based upon such research.
Eduardo S. Schwartz +2 more
core
An Empirical Analysis of Equity Default Swaps (I): Univariate Insights [PDF]
The aim of this paper is to describe a new methodology to assess the risk of any Equity Default Swap (EDS). We show that as credit ratings can measure counter-party risk, it is technically possible to provide a quantitatively derived “through the cycle ...
Arnaud_de_Servigny, Norbert_Jobst
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Análise da utilização do credit default swap: estudo de caso dos bancos Bradesco e Itaú
, 2018 Lidiano de Jesus Santos +2 more
openalex +1 more source
Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market\n Models [PDF]
, 2014 M. B. Walker
openalex +1 more source
The combination of Hebbian and predictive plasticity learns invariant object representations in deep sensory networks. [PDF]
Nat Neurosci, 2023 Halvagal MS, Zenke F.
europepmc +1 more source
Understanding Liquidity and Credit Risks in the Financial Crisis* [PDF]
This paper develops a structured dynamic factor model for the spreads between London Interbank Offered Rate (LIBOR) and overnight index swap (OIS) rates for a panel of banks. Our model involves latent factors which relect liquidity and credit risk.
Deborah Gefang, Gary Koop, Simon Potter
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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
Measuring Abnormal Credit Default Swap Spreads
, 2012 Christian Andrés +2 more
openalex +1 more source