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The determinants of credit spread changes in the euro area · Study

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ArticleThe determinants of credit spread changes in the euro area

Michael Boss2002

Article2002

The determinants of credit spread changes in the euro area

Michael Boss · Martin Scheicher

40 citations·0/0 files stored·BIS Papers chapters

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Credit Risk and Financial Regulations Banking stability, regulation, efficiency Global Financial Crisis and Policies

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure 2001The Determinants of Credit Spread Changes 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 2000A comparative analysis of current credit risk models 1994Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994 1996Firm-specific information and the correlation between individual stocks and bonds 1993The Pricing of Risky Debt When Interest Rates are Stochastic

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2020Is there a threshold effect in the liquidity risk–non‐performing loans relationship? A PSTR approach for MENA banks 2007Credit default swap prices as risk indicators of listed German banks 2017How Does Credit Risk Influence Liquidity Risk? Evidence from Ukrainian Banks

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2005A Survey of Cyclical Effects in Credit Risk Measurement Modelspreprint · 5 shared references 2011The determinants of sovereign credit spread changes in the Euro-zonearticle · 5 shared references 2004On the Pricing of Step-Up Bonds in the European Telecom Sectorpreprint · 5 shared references 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?article · 4 shared references 2004Structural Models of Corporate Bond Pricing: An Empirical Analysisarticle · 4 shared references 2001Do Credit Spreads Reflect Stationary Leverage Ratios?article · 4 shared references

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Year2002

Typearticle

Published2002-01-01

VenueBIS Papers chapters

Languageen

Citations40

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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