Empirical evidence on the dependence of credit default swaps and equity prices (original) (raw)
Related papers
Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching
THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY
International Journal of Theoretical and Applied …, 2005
Copulas and Dependence models in Credit Risk: Diffusions versus Jumps
Icer Working Papers Applied Mathematics Series, 2007
Analyzing Dependence Structure of Equity, Bond and Money Markets by Using Time-Varying Copulas
International Journal of Economics and Finance, 2014
Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes
Lecture Notes in Statistics, 2010
THE APPLICATION OF COPULAS IN PRICING DEPENDENT CREDIT DERIVATIVES INSTRUMENTS
2008
Measuring and Modeling the Correlation of Default Intensities: Evidence from Credit Default Swaps
2007
A parsimonious multivariate Markov chain model for credit risk
2007
Interdependencies across Sovereign Bond Credit Default Swap Markets
2017
Revisiting the Dependence between Financial Markets with Copulas
SSRN Electronic Journal, 2000
Credit derivatives and counterparty risk pricing through copulas: recent developments
Correlated Default Processes: A Criterion-Based Copula Approach
SSRN Electronic Journal, 2004
Copula Methods and the Analysis of Credit Risk
SSRN Electronic Journal, 2000
Credit migration and derivatives pricing using copulas
2005
The conditional dependence structure of banking sector credit default swap indices
International Journal of Financial Markets and Derivatives, 2015
Analysis of Dependency Structure of Default Processes Based on Bayesian Copula
Journal of the Iranian Statistical Society, 2014
Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach
2010
World financial relationes : understanding the credit derivative swaps (CDS) dependence structure
2018
World Financial Relations: Understanding the Credit Derivative Swaps (CDS) Dependence Structure
REAd. Revista Eletrônica de Administração (Porto Alegre)
Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
Communications in Statistics - Simulation and Computation, 2009
Credit migration and basket derivatives pricing with copulas
Journal of …, 2006
Copula-Based Default Dependence Modelling: Where Do We Stand?
2007
SSRN Electronic Journal, 2000
The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing
Juan Arismendi Zambrano, Vinicius Sobreiro
A Copula-based Markov Reward Approach to the Credit Spread in the European Union
Applied Mathematical Finance
Dependence Modelling and Risk Analysis in a Joint Credit-Equity Framework
2015
A Coupled Markov Chain approach to risk analysis of credit default swap index products
2009
Measuring and Modeling Default Dependence: Evidence from CDO, CDS and Equity Data
2009
Credit risk assessment via copulas: association invariance and risk-neutrality
2000
Dependence properties of dynamic credit risk models
Statistics & Risk Modeling, 2012
2011