Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Rohan Douglas"'
Publikováno v:
Review of Finance. 22:419-454
We measure credit risk premia - prices for bearing corporate default risk in excess of expected default losses - using Markit CDS and Moody’s Analytics EDF data. We find dramatic variation over time in credit risk premia, with peaks in 2002, during
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2460d9ddef125ffb2301246d29ce542d
https://doi.org/10.1093/rof/rfy002
https://doi.org/10.1093/rof/rfy002
Publikováno v:
SSRN Electronic Journal.
We measure credit risk premia - prices for bearing corporate default risk in excess of expected default losses - using Markit CDS and Moody’s Analytics EDF data. We find dramatic variation over time in credit risk premia, with peaks in 2002, during
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::31ccc064c4f10b8851310c81bd46de0e
https://doi.org/10.2139/ssrn.3077352
https://doi.org/10.2139/ssrn.3077352
Autor:
Rohan Douglas
Publikováno v:
Credit Derivative Strategies: New Thinking on Managing Risk and Return
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6a292038e81ccba5b52a94ed17c28b19
https://doi.org/10.1002/9781119204220.oth1
https://doi.org/10.1002/9781119204220.oth1
Autor:
Rohan Douglas
Publikováno v:
Credit Derivative Strategies: New Thinking on Managing Risk and Return
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::59d4c4884c899b89ef01f4ff48b7ec88
https://doi.org/10.1002/9781119204220
https://doi.org/10.1002/9781119204220
Publikováno v:
SSRN Electronic Journal.
This paper estimates recent default risk premia for U.S. corporate debt, based on a close relationship between default probabilities, as estimated by Moody's KMV EDFs, and default swap (CDS) market rates. The default-swap data, obtained through CIBC
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::da12e4c751d33a8296b98c262cc0b294
https://doi.org/10.2139/ssrn.556080
https://doi.org/10.2139/ssrn.556080
Autor:
Rohan Douglas
In the decade since the credit derivatives market started, financial professionals have become increasingly sophisticated. Most books on the subject have not kept pace. Credit Derivative Strategies closes the gap with state-of-the-art techniques for