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Premia for Correlated Default Risk · Study

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PreprintPremia for Correlated Default Risk

Kay Giesecke2008

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Preprintgreen2008

Premia for Correlated Default Risk

Kay Giesecke · Shahriar Azizpour · Baeho Kim

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

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

2005Stochastic Integration and Differential Equations 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 1983Point Processes and Queues: Martingale Dynamics.2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*2001Risk and Valuation of Collateralized Debt Obligations 2007Good and bad credit contagion: Evidence from credit default swaps☆2007Common Failings: How Corporate Defaults Are Correlated

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2003The Market Price of Credit Risk: The Impact of Asymmetric Information

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2011Premia for correlated default riskarticle · 27 shared references 2007Risk Premia in Structured Credit Derivativesarticle · 15 shared references 2011Monte Carlo Algorithms for Default Timing Problemsarticle · 15 shared references 2010Risk Analysis of Collateralized Debt Obligationsarticle · 11 shared references 2008Portfolio Credit Risk: Top‐Down versus Bottom‐Up Approachesother · 11 shared references 2009Computational techniques for basic affine models of portfolio credit riskarticle · 10 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations22

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.1126462

openalex_workW2053427862

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