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Credit default swap prices as risk indicators of listed German banks

  • Klaus Düllmann

    ()

  • Agnieszka Sosinska

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s11408-007-0053-7
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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

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    Handle: RePEc:kap:fmktpm:v:21:y:2007:i:3:p:269-292
    Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=119763

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    1. Jeffery D Amato & Eli M Remolona, 2003. "The credit spread puzzle," BIS Quarterly Review, Bank for International Settlements, December.
    2. 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.
    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.).
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
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