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My bibliography Save this itemExploring the sources of default clustering
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Cited by:
- Colin Ellis, 2020. "Are Corporate Bond Defaults Contagious across Sectors?," IJFS, MDPI, vol. 8(1), pages 1-17, January.
- Concepción de la Fuente-Cabrero & Mónica de Castro-Pardo & Rosa Santero-Sánchez & Pilar Laguna-Sánchez, 2019. "The Role of Mutual Guarantee Institutions in the Financial Sustainability of New Family-Owned Small Businesses," Sustainability, MDPI, vol. 11(22), pages 1-15, November.
- Zhang, Xiaoyuan & Zhang, Tianqi, 2022. "Dynamic credit contagion and aggregate loss in networks," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Kramer, Anke & Kiesel, Rüdiger, 2021. "Exogenous factors for order arrivals on the intraday electricity market," Energy Economics, Elsevier, vol. 97(C).
- Justin Sirignano & Kay Giesecke, 2019. "Risk Analysis for Large Pools of Loans," Management Science, INFORMS, vol. 65(1), pages 107-121, January.
- Bo Becker & Victoria Ivashina, 2023.
"Disruption and Credit Markets,"
Journal of Finance, American Finance Association, vol. 78(1), pages 105-139, February.
- Becker, Bo & Ivashina, Victoria, 2019. "Disruption and Credit Markets," CEPR Discussion Papers 13508, C.E.P.R. Discussion Papers.
- Bo Becker & Victoria Ivashina, 2022. "Disruption and Credit Markets," NBER Working Papers 29890, National Bureau of Economic Research, Inc.
- Escribano, Ana & Maggi, Mario, 2019. "Intersectoral default contagion: A multivariate Poisson autoregression analysis," Economic Modelling, Elsevier, vol. 82(C), pages 376-400.
- Wencheng Yu & Yikang Zhang & Kun Du & Yanzhou Wu, 2023. "Does the Quality of Director Fusion Raise the Risk of Corporate Debt Default?," Sustainability, MDPI, vol. 15(2), pages 1-18, January.
- Anand Deo & Sandeep Juneja, 2021. "Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator," Operations Research, INFORMS, vol. 69(2), pages 361-379, March.
- Senay Agca & Volodymyr Babich & John R. Birge & Jing Wu, 2022.
"Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market,"
Management Science, INFORMS, vol. 68(9), pages 6506-6538, September.
- Senay Agca & Volodymyr Babich & John Birge & Jing Wu, 2021. "Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market," Working Papers 2021-18, The George Washington University, Institute for International Economic Policy.
- Bátiz-Zuk Enrique & Mohamed Abdulkadir & Sánchez-Cajal Fátima, 2021. "Exploring the sources of loan default clustering using survival analysis with frailty," Working Papers 2021-14, Banco de México.
- Telg, Sean & Dubinova, Anna & Lucas, Andre, 2023. "Covid-19, credit risk management modeling, and government support," Journal of Banking & Finance, Elsevier, vol. 147(C).
- Anna Dubinova & Andre Lucas & Sean Telg, 2021. "COVID-19, Credit Risk and Macro Fundamentals," Tinbergen Institute Discussion Papers 21-059/III, Tinbergen Institute.
- Anatoliy Swishchuk & Aiden Huffman, 2020. "General Compound Hawkes Processes in Limit Order Books," Risks, MDPI, vol. 8(1), pages 1-25, March.
- Giesecke, Kay & Schwenkler, Gustavo, 2018. "Filtered likelihood for point processes," Journal of Econometrics, Elsevier, vol. 204(1), pages 33-53.
- Michi Nishihara & Takashi Shibata, 2020. "Optimal capital structure and bankruptcy cascades," Discussion Papers in Economics and Business 20-10, Osaka University, Graduate School of Economics.
- Antoine Djogbenou & Christian Gouri'eroux & Joann Jasiak & Maygol Bandehali, 2021. "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Papers 2109.09043, arXiv.org, revised Nov 2023.
- Yang Shen & Bin Zou, 2021. "Mean-Variance Portfolio Selection in Contagious Markets," Papers 2110.09417, arXiv.org.
- Lee, Yongwoong & Rösch, Daniel & Scheule, Harald, 2021. "Systematic credit risk in securitised mortgage portfolios," Journal of Banking & Finance, Elsevier, vol. 122(C).
- Das, Sanjiv R. & Kalimipalli, Madhu & Nayak, Subhankar, 2022. "Banking networks, systemic risk, and the credit cycle in emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
- Nishihara, Michi & Shibata, Takashi, 2021. "Optimal capital structure and simultaneous bankruptcy of firms in corporate networks," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Patrick Augustin & Mikhail Chernov & Dongho Song, 2018.
"Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads,"
NBER Working Papers
24506, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Augustin, Patrick & Song, Dongho, 2018. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers 12857, C.E.P.R. Discussion Papers.
- Shang Bu & Nan Guo & Lingfei Li, 2022. "Rating frailty, Bayesian updates, and portfolio credit risk analysis," Quantitative Finance, Taylor & Francis Journals, vol. 22(4), pages 777-797, April.
- Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2021.
"Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion,"
Management Science, INFORMS, vol. 67(6), pages 3674-3693, June.
- Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET, 2020. "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion," Working Papers 2020-01, Center for Research in Economics and Statistics.
- Konstantinos Spiliopoulos & Jia Yang, 2018. "Network effects in default clustering for large systems," Papers 1812.07645, arXiv.org, revised Feb 2020.
- Abad, P. & Ferreras, R. & Robles, M.D., 2020. "Intra-industry transfer effects of credit risk news: Rated versus unrated rivals," The British Accounting Review, Elsevier, vol. 52(1).
- Dumitru, Ana-Maria & Holden, Thomas, 2019. "Quantifying the transmission of European sovereign default risk," EconStor Preprints 193632, ZBW - Leibniz Information Centre for Economics.
- Asis, Gonzalo & Chari, Anusha & Haas, Adam, 2021.
"In search of distress risk in emerging markets,"
Journal of International Economics, Elsevier, vol. 131(C).
- Gonzalo Asis & Anusha Chari & Adam Haas, 2020. "In Search of Distress Risk in Emerging Markets," NBER Working Papers 27213, National Bureau of Economic Research, Inc.
- Marius Cristian Acatrinei, 2020. "Spillover index for European business cycle," Journal of Financial Studies, Institute of Financial Studies, vol. 9(5), pages 49-57, November.
- Hu, Nan & Liang, Peng & Liu, Ling & Zhu, Lu, 2022. "The bullwhip effect and credit default swap market: A study based on firm-specific bullwhip effect measure," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Christian Gouriéroux & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne, 2021.
"Disastrous Defaults [Risk premia and term premia in general equilibrium],"
Review of Finance, European Finance Association, vol. 25(6), pages 1727-1772.
- Gouriéroux Christian & Monfort Alain & Mouabbi Sarah & Renne Jean-Paul, 2020. "Disastrous Defaults," Working papers 778, Banque de France.
- Gouriéroux, Christian & Monfort, Alain & Mouabbi, Sarah & Renne, Jean-Paul, 2021. "Disastrous Defaults," TSE Working Papers 21-1237, Toulouse School of Economics (TSE).
- Ha Nguyen, 2023. "Particle MCMC in forecasting frailty correlated default models with expert opinion," Papers 2304.11586, arXiv.org, revised Aug 2023.
- Xing, Kai & Yang, Xiaoguang, 2020. "Predicting default rates by capturing critical transitions in the macroeconomic system," Finance Research Letters, Elsevier, vol. 32(C).
- Francesco Serafini & Finn Lindgren & Mark Naylor, 2023. "Approximation of Bayesian Hawkes process with inlabru," Environmetrics, John Wiley & Sons, Ltd., vol. 34(5), August.
- Zhao, Yixiu & Upreti, Vineet & Cai, Yuzhi, 2021. "Stock returns, quantile autocorrelation, and volatility forecasting," International Review of Financial Analysis, Elsevier, vol. 73(C).
- Gianmarco Bet & Francesco Dainelli & Eugenio Fabrizi, 2023. "The financial health of a company and the risk of its default: Back to the future," Papers 2302.10140, arXiv.org.
- Lohmann, Christian & Möllenhoff, Steffen, 2023. "Dark premonitions: Pre-bankruptcy investor attention and behavior," Journal of Banking & Finance, Elsevier, vol. 151(C).
- Xing, Kai & Luo, Dan & Liu, Lanlan, 2023. "Macroeconomic conditions, corporate default, and default clustering," Economic Modelling, Elsevier, vol. 118(C).
- Zheng, Hannan & Schwenkler, Gustavo, 2020. "The network of firms implied by the news," ESRB Working Paper Series 108, European Systemic Risk Board.
- Xiangdong Liu & Jiahui Wu & Xianglong Li, 2023. "Research on Financial Default Model with Stochastic Intensity Using Filtered Likelihood Method," Mathematics, MDPI, vol. 11(14), pages 1-19, July.
- Harjoat S. Bhamra & Christian Dorion & Alexandre Jeanneret & Michael Weber, 2018.
"Low Inflation: High Default Risk AND High Equity Valuations,"
NBER Working Papers
25317, National Bureau of Economic Research, Inc.
- Harjaat S. Bhamra & Christian Dorion & Alexandre Jeanneret & Michael Weber & Michael Weber, 2018. "Low Inflation: High Default Risk AND High Equity Valuations," CESifo Working Paper Series 7391, CESifo.
- Dan Luo & Dragon Yongjun Tang & Sarah Qian Wang, 2018. "Model specification and collateralized debt obligation (mis)pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1284-1312, November.
- Xiaolu Hu & Haoyi Luo & Zijin Xu & Jiang Li, 2021. "Intra‐industry spill‐over effect of default: Evidence from the Chinese bond market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4703-4740, September.
- Gross, Marco, 2022. "Beautiful cycles: A theory and a model implying a curious role for interest," Economic Modelling, Elsevier, vol. 106(C).
- Ben Hambly & Andreas Søjmark, 2019. "An SPDE model for systemic risk with endogenous contagion," Finance and Stochastics, Springer, vol. 23(3), pages 535-594, July.
- Li, Bingqing & Zhang, Xiaoyuan, 2024. "Systemic risk and financial networks," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 25-36.
- Geir D. Berentsen & Jan Bulla & Antonello Maruotti & Bård Støve, 2022. "Modelling clusters of corporate defaults: Regime‐switching models significantly reduce the contagion source," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(3), pages 698-722, June.
- Gao, Haoyu & Ouyang, Yiling & Wang, Yaxin, 2024. "Corporate bond defaults and spillover effects on bank risk: Evidence from city commercial banks in China," Research in International Business and Finance, Elsevier, vol. 69(C).
- Teruo Kemmotsu, 2021. "Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 563-585, December.
- Wang, Xiaoting & Hou, Siyuan & Shen, Jie, 2021. "Default clustering of the nonfinancial sector and systemic risk: Evidence from China," Economic Modelling, Elsevier, vol. 96(C), pages 196-208.
- Nguyen, Ha, 2023. "An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 103-121.
- Mark Clintworth & Dimitrios Lyridis & Evangelos Boulougouris, 2023. "Financial risk assessment in shipping: a holistic machine learning based methodology," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 25(1), pages 90-121, March.