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Good and bad credit contagion: Evidence from credit default swaps☆ · Study

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ArticleGood and bad credit contagion: Evidence from credit default swaps☆

Philippe Jorion2007

Article2007

Good and bad credit contagion: Evidence from credit default swaps☆

Philippe Jorion

588 citations·0/0 files stored·Journal of Financial Economics

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Credit Risk and Financial Regulations Corporate Insolvency and Governance Financial Risk and Volatility Modeling

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References

1997Event Studies in Economics and Finance 1999Modeling Term Structures of Defaultable Bonds 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 2001Explaining the Rate Spread on Corporate Bonds 2007Corporate Yield Spreads and Bond Liquidity 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements 2000A comparative analysis of current credit risk models 1992Contagion and competitive intra-industry effects of bankruptcy announcements

Cited by

2009Frailty Correlated Default 2009Credit Contagion from Counterparty Risk 2012Sovereign credit ratings and financial markets linkages: Application to European data 2010Affine Point Processes and Portfolio Credit Risk 2013Financial statement comparability and credit risk 2010The reaction of emerging market credit default swap spreads to sovereign credit rating changes

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2018Credit Risk Research: Review and Agendaarticle · 8 shared references 2015On Bounding Credit-Event Risk Premiaarticle · 7 shared references 2018An empirical comparison of credit spreads between the bond market and the credit default swap marketarticle · 7 shared references 2019Knowledge mapping of credit risk research: scientometrics analysis using CiteSpacearticle · 7 shared references 2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firmsarticle · 6 shared references 2006An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Marketarticle · 6 shared references

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Year2007

Typearticle

Published2007-03-06

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations588

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jfineco.2006.06.001

openalex_workW2052902288

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