Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-
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- Marra, Miriam, 2015. "The impact of liquidity on senior credit index spreads during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 148-167.
- Bertrand Hassani & Xin Zhao, 2014. "Reconsidering Corporate Ratings," Post-Print hal-01117683, HAL.
- Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
- repec:dau:papers:123456789/15008 is not listed on IDEAS
- Osama Wagdi & Yasmeen Tarek, 2022. "The Integration of Big Data and Artificial Neural Networks for Enhancing Credit Risk Scoring in Emerging Markets: Evidence from Egypt," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 14(2), pages 1-32, February.
- Asia Aman, 2019. "Are CDS Spreads Sensitive to the Term Structure of the Yield Curve? A Sector-Wise Analysis under Various Market Conditions," JRFM, MDPI, vol. 12(4), pages 1-13, September.
- Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
- Andreas Rathgeber & David Rudolph & Stefan Stöckl, 2015. "Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option," Review of Derivatives Research, Springer, vol. 18(2), pages 107-143, July.
- Bertrand K Hassani & Xin Zhao, 2014. "Reconsidering Corporate Ratings," Documents de travail du Centre d'Economie de la Sorbonne 14077, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Luminita Gabriela ISTRATE & Bogdan Stefan IONESCU & Maria-Monica HARALAMBIE, 2016. "Aspects of the impact of interest rate development on the probability of default," The Audit Financiar journal, Chamber of Financial Auditors of Romania, vol. 14(142), pages 1149-1149, October.
- Dufour, Alfonso & Stancu, Andrei & Varotto, Simone, 2017.
"The equity-like behaviour of sovereign bonds,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 25-46.
- Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
- Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018.
"Corporate Credit Risk Premia [Fallen angels and price pressure],"
Review of Finance, European Finance Association, vol. 22(2), pages 419-454.
- Douglas, Rohan & Berndt, Antje & Duffie, Darrell & Ferguson, Mark, 2017. "Corporate Credit Risk Premia," Research Papers repec:ecl:stabus:3617, Stanford University, Graduate School of Business.
- Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018. "Corporate Credit Risk Premia," NBER Working Papers 24213, National Bureau of Economic Research, Inc.
- Wang, Xinjie & Wu, Yangru & Yan, Hongjun & Zhong, Zhaodong (Ken), 2021. "Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang," Journal of Financial Economics, Elsevier, vol. 139(2), pages 545-560.
- Hervé Alexandre & François Guillemin & Catherine Refait-Alexandre, 2015. "Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?," Post-Print hal-01622782, HAL.
- Bertrand Hassani & Xin Zhao, 2014. "Reconsidering Corporate Ratings," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01117683, HAL.
- Michele Bianchi & Frank Fabozzi, 2015. "Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 243-273, August.
- Lafuente, Juan Angel & Serrano, Pedro, 2015.
"On the compensation for illiquidity in sovereign credit markets,"
Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 83-100.
- Groba, Jonatan & Lafuente Luengo, Juan Ángel, 2014. "On the compensation for illiquidity in sovereign credit markets," DEE - Working Papers. Business Economics. WB wb142911, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Božović, Miloš & Ivanović, Jelena, 2017. "Adverse risk interaction: An integrated approach," Economic Modelling, Elsevier, vol. 65(C), pages 67-74.
- Mariya Gubareva & Maria Rosa Borges, 2018. "Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk," Annals of Operations Research, Springer, vol. 266(1), pages 71-100, July.
- Dilip Madan, 2015. "Asset pricing theory for two price economies," Annals of Finance, Springer, vol. 11(1), pages 1-35, February.
- Giaccotto, Carmelo & Lin, Xiao & Zhao, Yanhui, 2020. "Term structure of discount rates for firms in the insurance industry," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 147-158.
- Mariya Gubareva, 2018. "Historical Interest Rate Sensitivity of Emerging Market Sovereign Debt: Evidence of Regime Dependent Behavior," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 405-442, November.
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