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Löhr, Sebastian [Author]

Essays on collateralized debt obligations and credit default swaps : dynamic correlation modeling, measuring systematic risk, and cross-sectional pricing of common risks - [published Version]

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https://www.repo.uni-hannover.de/handle/123456789/8172

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Hannover : Gottfried Wilhelm Leibniz Universität Hannover, 2013
Schwaab, Bernd [Author]; Koopman, Siem Jan [Author]; Lucas, André [Author]

Global credit risk: world country and industry factors

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http://hdl.handle.net/10419/154355

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Frankfurt a. M.: European Central Bank (ECB), 2016
Schwaab, Bernd [Author]; Koopman, Siem Jan [Author]; Lucas, André [Author]

Global Credit Risk: World, Country and Industry Factors

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http://hdl.handle.net/10419/107898

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Amsterdam and Rotterdam: Tinbergen Institute, 2015
Betz, Jennifer [Author] ; Rösch, Daniel [Degree supervisor]

Resolution of defaulted loan contracts - An empirical analysis of default resolution time and loss given default

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https://d-nb.info/1164765604/34

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Regensburg: Universitätsbibliothek Regensburg, 2018
Memmel, Christoph [Author]; Gündüz, Yalin [Author]; Raupach, Peter [Author]

The common drivers of default risk

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http://hdl.handle.net/10419/68467

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Frankfurt a. M.: Deutsche Bundesbank, 2012
Hartmann-Wendels, Thomas [Author]; Imanto, Christopher Paulus [Author]

Is the regulatory downturn LGD adequate? : performance analysis and alternative methods

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https://www.tandfonline.com/doi/pdf/10.1080/01605682.2021.1973349

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2023

Published in: Operational Research Society: Journal of the Operational Research Society ; 74(2023), 3, Seite 736-747
Koopman, Siem Jan [Author]; Lucas, Andre [Author]; Schwaab, Bernd [Author]

Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective

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http://hdl.handle.net/10419/86734

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Amsterdam and Rotterdam: Tinbergen Institute, 2010
Gürtler, Marc [Author]; Heithecker, Dirk [Author]

Systematic credit cycle risk of financial collaterals: Modelling and evidence

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http://hdl.handle.net/10419/55229

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Braunschweig: Technische Universität Braunschweig, Institut für Finanzwirtschaft, 2005
Alaeddini, Morteza [Author]; Madiès, Philippe [Author]; Reaidy, Paul J. [Author]; Dugdale, Julie [Author]

Interbank money market concerns and actors' strategies : a systematic review of 21st century literature

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2023

Published in: Journal of economic surveys ; 37(2023), 2 vom: Apr., Seite 573-654
Fiordelisi, Franco [Author] ; Marques-Ibanez, David [Other]

Is Bank Default Risk Systematic?

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https://ssrn.com/abstract=1895369

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[S.l.]: SSRN, [2011]
Qi, Min [Author]; Xiaofei, Zhang [Author]; Zhao, Xinlei Shelly [Author]

Unobservable Systematic Risk Factor and Default Prediction

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https://ssrn.com/abstract=1566536

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[S.l.]: SSRN, 2022
Zhao, Lei [Author]

Credit Risk 'Beta' : The Systematic Aspect of Bank Default Risk

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https://ssrn.com/abstract=2667055

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[S.l.]: SSRN, [2015]

Published in: Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Roesch, Daniel [Author] ; Scheule, Harald (Harry) [Other]

A Multi-Factor Approach for Systematic Default and Recovery Risk

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https://ssrn.com/abstract=2349618

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[S.l.]: SSRN, [2013]
Löhr, Sebastian [Author] ; Claussen, Arndt [Other]; Roesch, Daniel [Other]; Scheule, Harald (Harry) [Other]

Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads

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https://ssrn.com/abstract=2354874

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[S.l.]: SSRN, [2014]
Sbuelz, Alessandro [Author] ; Campi, Luciano [Other]; Polbennikov, Simon [Other]

Systematic Equity-Based Credit Risk : A CEV Model With Jump to Default

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https://ssrn.com/abstract=997808

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[S.l.]: SSRN, [2007]
Chan-Lau, Jorge A. [Author]

Is Systematic Default Risk Priced in Equity Returns? : A Cross-Sectional Analysis Using Credit Derivatives Prices

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https://ssrn.com/abstract=920240

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[S.l.]: SSRN, [2006]

Published in: IMF Working Paper, Vol. , pp. 1-18, 2006
Chan-Lau, Jorge A. [Author] ; Chan-Lau, Jorge A. [Other]

Is Systematic Default Risk Priced in Equity Returns? : A Cross-Sectional Analysis Using Credit Derivatives Prices

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http://elibrary.imf.org/view/journals/001/2006/148/001.2006.issue-148-en.xml

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Washington, D.C: International Monetary Fund, 2006 ; Online-Ausg.

Published in: Internationaler Währungsfonds: IMF working papers ; 600
Löhr, Sebastian [Author]

Essays on collateralized debt obligations and credit default swaps : dynamic correlation modeling, measuring systematic risk, and cross-sectional pricing of common risks

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https://d-nb.info/1041652135/34

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Hannover: Technische Informationsbibliothek und Universitätsbibliothek Hannover (TIB), 2013
Anginer, Deniz [Author] ; Yıldızhan, Ccedil;elim [Other]

Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns

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https://ssrn.com/abstract=1344745

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[S.l.]: SSRN, [2019]
Anginer, Deniz [Author] ; Yıldızhan, Çelim [Other]

Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns

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https://ssrn.com/abstract=1616477

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[S.l.]: SSRN, [2017]

Published in: World Bank Policy Research Working Paper ; No. 5319

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