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Global Macro-Financial Shocks and Expected Default Frequencies in the Euro Area
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Global Macro-Financial Shocks and Expected Default Frequencies in the Euro Area (2008)Global Macro-Financial Shocks and Expecte…Pricing Derivatives on Financial Securities Subject to Credit Risk (2008)Pricing Derivatives on Financ…Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Macroeconomic Dynamics and Cr…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Exploring interactions between real activity and the financial stance (2005)Exploring interactions betwee…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…A long-run survival analysis of corporate liquidations in Ireland (2014)A long-run survival analysis …An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Monetary policy and financial (in)stability: An integrated micro–macro approach (2007)Measuring financial stress in transition economies (2012)Financial stress spillovers across the banking, securities and foreign exchange markets (2015)Does Entry Size Matter? The Impact of the Life Cycle and Technology on Firm Survival (2001)Credit Cycles, Credit Risk, and Prudential Regulation (2005)The financial cycle and macroeconomics: What have we learnt? (2013)Lending infrastructure and credit rationing of European SMEs (2019)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Bounds testing approaches to the analysis of level relationships (2001)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Macroeconomics and Reality (1980)Market conditions, default risk and credit spreads (2009)Non-Performing Loans: What Matters in Addition to the Economic Cycle? (2013)Key Determinants of Non-performing Loans: New Evidence from a Global Sample (2015)The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads (2001)Bond Pricing with Default Risk (2004)On Bank Credit Risk: Systemic or Bank-Specific? Evidence from the US and UK (2013)
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References

  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Macroeconomic Dynamics and Credit Risk: A Global Perspective408 cited
  • 2005Exploring interactions between real activity and the financial stance97 cited
  • 2008Pricing Derivatives on Financial Securities Subject to Credit Risk86 cited

Cited by

  • 2014A long-run survival analysis of corporate liquidations in Ireland24 cited

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