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Article provided by Springer in its journal Financial Markets and Portfolio Management.

Volume (Year): 21 (2007)
Issue (Month): 3 (September)
Pages: 269-292
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:fmktpm:v:21:y:2007:i:3:p:269-292

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Related research

Keywords: Credit default swaps; Credit risk; Market indicators; Reduced-form models; G 12; G 21; G 13; C 13;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

1. Lopez, Jose A., 2004. "The empirical relationship between average asset correlation, firm probability of default, and asset size," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 265-283, April. [Downloadable!] (restricted)
   Other versions:
   • Jose A. Lopez, 2002. "The empirical relationship between average asset correlation, firm probability of default and asset size," Working Papers in Applied Economic Theory 2002-05, Federal Reserve Bank of San Francisco. [Downloadable!]
2. Diana Hancock & Myron Kwast, 2001. "Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible?," Journal of Financial Services Research, Springer, vol. 20(2), pages 147-187, October. [Downloadable!] (restricted)
3. Diana Hancock & Myron L. Kwast, 2001. "Using subordinated debt to monitor bank holding companies: is it feasible?," Finance and Economics Discussion Series 2001-22, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
5. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-94, September. [Downloadable!] (restricted)
6. Hull, John & Predescu, Mirela & White, Alan, 2004. "The relationship between credit default swap spreads, bond yields, and credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2789-2811, November. [Downloadable!] (restricted)
7. Krainer, John & Lopez, Jose A, 2004. "Incorporating Equity Market Information into Supervisory Monitoring Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(6), pages 1043-67, December.
   Other versions:
   • John Krainer & Jose A. Lopez, 2001. "Incorporating equity market information into supervisory monitoring models," Working Papers in Applied Economic Theory 2001-14, Federal Reserve Bank of San Francisco. [Downloadable!]

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This page was last updated on 2009-12-4.