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On the spillover of exchange rate risk into default risk
8 references·0 citing·40 second hop
On the spillover of exchange rate risk into default risk (2009)On the spillover of exchange rate risk in…What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements (2006)What drives credit risk in em…A risk assessment model for banks (2005)A risk assessment model for b…Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Modeling Regional Interdepend…Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2003)Modeling Sovereign Yield Spre…Excessive Dollar Debt: Financial Development and Underinsurance (2003)Excessive Dollar Debt: Financ…The intersection of market and credit risk (2000)The intersection of market an…Coherent Measures of Risk (1999)Coherent Measures of RiskOn the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)Pricing default swaps: Empirical evidence (2005)Stress-Testing Financial Systems: An Overview of Current Methodologies (2007)What determines Euro area bank CDS spreads? (2012)Procyclicality and the new Basel Accord - banks? choice of loan rating system (2004)A model to analyse financial fragility (2005)Risk Assessment for Banking Systems (2006)Towards a measure of financial fragility (2006)The Continuing Muddles of Monetary Theory: A Steadfast Refusal to Face Facts (2009)Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR (2015)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Panels with Nonstationary Multifactor Error Structures (2006)Exploring the international linkages of the euro area: a global VAR analysis (2007)Unit Roots and Cointegration in Panels (2008)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)The pricing of G7 sovereign bond spreads – The times, they are a-changin (2014)The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences (2016)Credit Risk Research: Review and Agenda (2018)Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Stochastic Integration and Differential Equations (2005)Do Regulations Based on Credit Ratings Affect a Firm's Cost of Capital? (2010)Systemic sovereign credit risk: Lessons from the U.S. and Europe (2013)Bank Runs, Deposit Insurance, and Liquidity (1983)Risk Management: Coordinating Corporate Investment and Financing Policies (1993)Private and Public Supply of Liquidity (1998)Presidential Address: Sophisticated Investors and Market Efficiency (2009)Managing Credit Booms and Busts: A Pigouvian Taxation Approach (2010)A Comparative‐Advantage Approach to Government Debt Maturity (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)The cost of capital, corporation finance and the theory of investment (2008)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model1,461 cited
  • 2003Excessive Dollar Debt: Financial Development and Underinsurance382 cited
  • 2003Modeling Sovereign Yield Spreads: A Case Study of Russian Debt381 cited
  • 2000The intersection of market and credit risk304 cited
  • 2005A risk assessment model for banks113 cited
  • 2006What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements103 cited

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