We study the effects of a conventional monetary expansion, quantitative easing, and the
maturity extension program on corporate bond yields using impulse response functions …

This review provides a comprehensive survey of recent quantitative research on the pricing
of credit risk. It also explores two types of models commonly used for pricing credit risk …

BACKGROUND Cap rates were originally conceived as a shorthand expression of real
estate value in the primitive times before desktop computers were equipped with discounted …

We propose a Credit Value Adjustment (CVA) model capturing the Wrong Way Risk (WWR)
that is not product-specific and is suitable for large-scale computations. The model is based …

This article examines and ascertains a long-run relationship of leveraged loan defaults rates
and macroeconomic variables in the United States. It identifies factors in the economic …

We study the effects of a conventional monetary expansion, quantitative easing, and
operation twist on corporate bond yields and spreads. These policies are simulated as …

We investigate the effects of a conventional monetary expansion, the quantitative easing,
and maturity extension programs on the yields of corporate bonds. We adopt a multiple …

The behaviour of credit spreads is of importance for a wide array of stakeholders. We test the
relationship between changes in risk-free interest rates and credit spreads in European …

During the recent European sover-eign debt crisis, corporate bond yield spreads were
unusually high in several countries or regions but not necessarily elsewhere, implying …

In this article, we analyze the determinants of swap spreads applying Bayesian model
search (BMS). BMS is a flexible methodology that explicitly accounts for model risk and has …