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Credit default swap prices as risk indicators of listed German banks · Study

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ArticleCredit default swap prices as risk indicators of listed German banks

Klaus Düllmann2007

Article2007

Credit default swap prices as risk indicators of listed German banks

Klaus Düllmann · Agnieszka Sosinska

31 citations·0/0 files stored·Financial markets and portfolio management

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

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References

1973The Pricing of Options and Corporate Liabilities 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1986Asset pricing and the bid-ask spread 1989Business conditions and expected returns on stocks and bonds 1987Parsimonious Modeling of Yield Curves 2001The Determinants of Credit Spread Changes 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads

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2009Explaining the Bond-CDS Basis: The role of credit risk and liquidity

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

2008Liquidity and Credit Default Swap Spreadspreprint · 8 shared references 2004The Determinants of Credit Default Swap Premiapreprint · 8 shared references 2012The determinants of bank CDS spreads: evidence from the financial crisisarticle · 8 shared references 2008Determinants of yield spread dynamics: Euro versus US dollar corporate bondsarticle · 8 shared references 2006THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDYarticle · 8 shared references 2006Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Marketpreprint · 7 shared references

Details

Year2007

Typearticle

Published2007-05-07

VenueFinancial markets and portfolio management

ISSN-L1555-4961

Languageen

Citations31

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1007/s11408-007-0053-7

openalex_workW2059306196

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