Add to ORKGThis paper presents a procedure for computing homogeneous measures of credit risk from stocks, bonds and CDSs. The measures are based on bond spreads (BS), CDS spreads (CDS) and implied stock market credit spreads (ICS). We compute these measures for a sample of North American and European firms and find that in most cases, the stock market leads the credit risk discovery process with respect to bond and CDS markets
This paper investigates the determinants of credit spreads (levels and changes) via credit derivativ...
This paper investigates the determinants of credit spreads (levels and changes) via credit derivativ...
Understanding the nature of credit risk has important implications for financial stability. Since au...
This paper presents a procedure for computing homogeneous measures of credit risk from stocks, bonds...
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spread...
Purpose The creditworthiness of corporates is most visible in credit ratings. This paper presents a...
This work analyzes the possible links between CDS premiums and bond spreads, with reference to both ...
The purpose of this thesis is to study traded corporate credit risk in the CDS and bond markets. As ...
This paper analyses the behaviour of credit default swaps (CDS) for a sample of firms and finds supp...
The aim of this study is to illustrate in detail the Hull and White reduced form model for pricing C...
This thesis focuses on an empirical analysis of credit spreads from three different perspectives. Th...
textThis dissertation examines the determinants of credit spreads. The purpose and contribution of ...
This paper introduces measures of volatility and jump risk that are based on individual stock option...
This paper investigates the determinants of credit spreads (levels and changes) via credit derivativ...
An information link exists between the credit default swap (CDS) and equity markets. The CDS spread ...
This paper investigates the determinants of credit spreads (levels and changes) via credit derivativ...
This paper investigates the determinants of credit spreads (levels and changes) via credit derivativ...
Understanding the nature of credit risk has important implications for financial stability. Since au...
This paper presents a procedure for computing homogeneous measures of credit risk from stocks, bonds...
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spread...
Purpose The creditworthiness of corporates is most visible in credit ratings. This paper presents a...
This work analyzes the possible links between CDS premiums and bond spreads, with reference to both ...
The purpose of this thesis is to study traded corporate credit risk in the CDS and bond markets. As ...
This paper analyses the behaviour of credit default swaps (CDS) for a sample of firms and finds supp...
The aim of this study is to illustrate in detail the Hull and White reduced form model for pricing C...
This thesis focuses on an empirical analysis of credit spreads from three different perspectives. Th...
textThis dissertation examines the determinants of credit spreads. The purpose and contribution of ...
This paper introduces measures of volatility and jump risk that are based on individual stock option...
This paper investigates the determinants of credit spreads (levels and changes) via credit derivativ...
An information link exists between the credit default swap (CDS) and equity markets. The CDS spread ...
This paper investigates the determinants of credit spreads (levels and changes) via credit derivativ...
This paper investigates the determinants of credit spreads (levels and changes) via credit derivativ...
Understanding the nature of credit risk has important implications for financial stability. Since au...