Credit default swap prices as risk indicators of listed German banks
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Volume (Year): 21 (2007)
Issue (Month): 3 (September)
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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.:
- Jose A. Lopez, 2002.
"The empirical relationship between average asset correlation, firm probability of default and asset size,"
Working Paper Series
2002-05, Federal Reserve Bank of San Francisco.
- 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.
- 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.
- Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
- 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 1043-1067, December.
- John Krainer & Jose A. Lopez, 2001. "Incorporating equity market information into supervisory monitoring models," Working Paper Series 2001-14, Federal Reserve Bank of San Francisco.
- Jeffery D Amato & Eli M Remolona, 2003. "The credit spread puzzle," BIS Quarterly Review, Bank for International Settlements, pages -, December.
- 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 637-654, May-June.
- Diana Hancock & Myron Kwast, 2001.
"Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible?,"
Journal of Financial Services Research,
Springer;Western Finance Association, vol. 20(2), pages 147-187, October.
- 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.).
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