Credit contagion and competitive effects of bond rating downgrades along the supply chain
This study investigates credit risk effects of credit rating downgrades on downgraded firms'
intra-industry rivals (horizontal relation), suppliers and customers (vertical relation). Using …
intra-industry rivals (horizontal relation), suppliers and customers (vertical relation). Using …
Variance swaps on defaultable assets and market implied time-changes
M Lorig, O Lozano-Carbasse… - SIAM Journal on Financial …, 2016 - SIAM
We compute the value of a variance swap when the underlying is modeled as a Markov
diffusion process time changed by a Lévy subordinator. In this framework, the underlying …
diffusion process time changed by a Lévy subordinator. In this framework, the underlying …
International credit default swaps market during European crisis: a Markov switching approach
A Koy - Global Financial Crisis and Its Ramifications on Capital …, 2017 - Springer
This study investigates whether nonlinear relationship resulted from mutual regime
switching mechanism exists in the European CDS's markets during crisis. Multivariate …
switching mechanism exists in the European CDS's markets during crisis. Multivariate …