Mortgages: Estimating Default Correlation and Forecasting Default Risk

SSRN Electronic Journal ◽

10.2139/ssrn.3135271 ◽

2018 ◽

Author(s):

Tobias Neumann

Keyword(s):

Default Risk ◽

Default Correlation

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Modeling issuer default risk in basket default swaps: the impact of default correlation

The Journal of Risk Model Validation ◽

10.21314/jrmv.2012.093 ◽

2012 ◽

Vol 6 (3) ◽

pp. 67-82

Author(s):

Po-Cheng Wu

Keyword(s):

Default Risk ◽

Default Correlation ◽

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Mortgage Choice, Separating Equilibrium and Default Risk

10.15396/eres1997_129 ◽

1997 ◽

Keyword(s):

Default Risk ◽

Mortgage Choice ◽

Separating Equilibrium

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Valuing Credit Default Swaps I: No Counterparty Default Risk

10.2469/dig.v31.n2.888 ◽

2001 ◽

Vol 31 (2) ◽

pp. 91-92 ◽

Author(s):

Bruce D. Phelps

Keyword(s):

Default Risk ◽

Credit Default Swaps ◽

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Impact of Correlated Default Risk on Credit Portfolios

10.2469/dig.v32.n3.1141 ◽

2002 ◽

Vol 32 (3) ◽

pp. 97-98

Author(s):

Stephen M Horan

Keyword(s):

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Corporate default risk modeling under distressed economic and financial conditions in a developing economy

The Journal of Credit Risk ◽

10.21314/jcr.2020.267 ◽

2020 ◽

Author(s):

Frank Ranganai Matenda ◽

Mabutho Sibanda ◽

Eriyoti Chikodza ◽

Victor Gumbo

Keyword(s):

Default Risk ◽

Developing Economy ◽

Risk Modeling ◽

Corporate Default ◽

Financial Conditions

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Default Risk Explains Main Part of Corporate Credit Spreads: Evidence from Multi-Period Non-Merton Model

SSRN Electronic Journal ◽

10.2139/ssrn.1087888 ◽

2010 ◽

Author(s):

Leonid V. Philosophov ◽

Vladimir L. Philosophov

Keyword(s):

Default Risk ◽

Main Part ◽

Credit Spreads ◽

Merton Model ◽

Corporate Credit

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Default Risk and Collateral in the Absence of Commitment

SSRN Electronic Journal ◽

10.2139/ssrn.1148963 ◽

2008 ◽

Author(s):

David C. Mills ◽

Robert R. Reed III

Keyword(s):

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Default Risk Mitigation Mechanisms in Derivatives Markets

SSRN Electronic Journal ◽

10.2139/ssrn.1279459 ◽

2008 ◽

Author(s):

Rajna Gibson ◽

Carsten Murawski

Keyword(s):

Default Risk ◽

Risk Mitigation ◽

Derivatives Markets

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The Impact of Default Risk on the Basu Measure of Accounting Conservatism

SSRN Electronic Journal ◽

10.2139/ssrn.1279488 ◽

2009 ◽

Author(s):

Richard Zhe Wang ◽

Ciaran Ó Hogartaigh ◽

Tony van Zijl

Keyword(s):

Default Risk ◽

Accounting Conservatism ◽

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From Default Correlation to Implied Hazard Rate Densities

SSRN Electronic Journal ◽

10.2139/ssrn.1510191 ◽

2008 ◽

Author(s):

Bill Bobey

Keyword(s):

Hazard Rate ◽

Default Correlation

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