Purpose This paper provides an objective approach based on available market information
capable of reducing subjectivity, inherently present in the process of expected loss …

We examine whether default risk is priced equally fast in the credit default swap (CDS) and
the stock markets in the main economic sectors of North America, Europe, the UK, and Asia …

In the spirit of methodology reviews for stock event studies, like the one prepared by Binder
(Rev Quant Financ Account 11: 111–137, 1998), this paper discusses the development of …

This paper examines the contribution to price discovery by electronic and voice-based
trading systems in the US Treasury market. Evidence shows that the electronic trading …

During the recent financial crisis that erupted in mid-2007, credit default swap spreads
increased by several hundred basis points, accompanied by a liquidity shortage in the US …

Die vorliegende Arbeit entstand während meiner Tätigkeit als wissenschaftliche
Mitarbeiterin am Seminar für Allgemeine Betriebswirtschaftslehre und Controlling der …

In this paper, we explore the features of a structural credit risk model wherein the firm value
is driven by normal tempered stable (NTS) process belonging to the larger class of Lévy …

The current expected loss calculations have recently attracted considerable attention in the
research on credit risk modeling, impairment provisioning, and financial networks' stability. A …

Financial Economics and Econometrics provides an overview of the core topics in
theoretical and empirical finance, with an emphasis on applications and interpreting results …

Purpose The aim of this research is twofold. First, we study average levels of liquidity for
long-run through-the-cycle periods, which potentially allow eliminating procyclicality from …