Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk?

Author:

Aunon-Nerin Daniel,Cossin Didier,Hricko Tomas,Huang Zhijiang

Publisher

Elsevier BV

Reference48 articles.

1. Credit Risk, Interest Rate Risk, and the Business Cycle;F References -Alessandrini;The Journal of Fixed Income,1999

2. Credit Risk Measurement: Developments over the Last 20 Years;E Altman;forthcoming in Journal of Banking and Finance,1992

3. Scaling the Volatility of Credit Spreads: Evidence from the Australian Eurobonds;J Batten;Economic Policy Review,1996

4. Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds;S -Claessens;Journal of Financial and Quantitative Analysis,1996

5. Do Credit Spreads Reflect Stationary Leverage Ratios?;P -Collin-Dufresne;The Journal of Finance,2001

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