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Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data · Study

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PreprintExploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data

Didier Cossin2001

OA

Preprintgreen2001

Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data

Didier Cossin · Tomas Hricko

40 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Distress and Bankruptcy Prediction

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2001The Determinants of Credit Spread Changes 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1997A Markov Model for the Term Structure of Credit Risk Spreads 1997Credit risk measurement: Developments over the last 20 years 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields

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2011Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis 2007Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms

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2003Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk?preprint · 13 shared references 2006THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDYarticle · 10 shared references 2006Correlated Default Riskarticle · 9 shared references 2006What drives credit risk in emerging markets? The roles of country fundamentals and market co-movementsarticle · 8 shared references 2018Credit Risk Research: Review and Agendaarticle · 8 shared references 2000Estimating and Pricing Credit Risk: An Overviewarticle · 8 shared references

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations40

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.273454

openalex_workW1540341317

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