Pricing default events: Surprise, exogeneity and contagion

Author:

Gouriéroux C.,Monfort A.,Renne J.P.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference58 articles.

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2. Bai, J., Collin-Dufresne, P., Goldstein, R., Helwege, J., 2012a. On bounding credit event risk premia. Federal Reserve, Bank of New-York, Report 577.

3. Bai, J., Collin-Dufresne, P., Goldstein, R., Helwege, J., 2012b. Is Credit Event Risk Priced? Columbia University DP.

4. Measuring Default Risk Premia from Default Swap Rates and EDFs, Working Paper;Berndt,2008

5. Econometric measures of correlation and systematic risk in the finance and insurance sectors;Billio;J. Financ. Econom.,2012

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1. Disastrous Defaults;Review of Finance;2021-01-30

2. Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion;Management Science;2020-10-05

3. Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads;Journal of Financial Economics;2020-07

4. Enlargement of Filtration in Discrete Time;Mathematical Lectures from Peking University;2020

5. Fiscal Limits and Sovereign Credit Spreads;SSRN Electronic Journal;2019

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