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Performance of default-risk measures: the sample matters
(Elsevier, 2020)
info:eu-repo/semantics/article,
This paper examines the predictive power of the main default-risk measures used by both academics and practitioners, including accounting measures, market-price-based measures and the credit rating. Given that some measures ...
Momentum and default risk. Some results using the jump component
(Elsevier, 2015)
Artículo / Artikulua,
In this paper we separate the total stock return into its continuous and jump component to test whether stock return predictability should be attributed to omitted risk factors or behavioral finance theories. We extend ...
Coasimetría idiosincrática y riesgo de insolvencia en el mercado de valores español
(AECATaylor & Francis, 2014)
Artículo / Artikulua,
En el presente trabajo se analiza la relación entre el riesgo asimétrico, aproximado por las medidas de coasimetría y coasimetría idiosincrática, y el riesgo de insolvencia en el mercado de valores español. Se ha encontrado ...
An empirical investigation of the effect of credit ratings on sovereign credit risk
(Universidad de Castilla La Mancha, 2015)
Documento de trabajo / Lan gaiak,
We investigate the cross-border spillover effects of credit rating events for sovereign CDS Latin American emerging economies during 2004-2014. The article extends the previous literature measuring the effect in terms of ...
Volatility risk premia betas
(Universidad de Zaragoza, 2016)
Artículo / Artikulua,
This paper analyzes the cross-sectional and time-series behavior of thevolatility risk premia betas at the portfolio level. These betas show a monotonic relation with respect to the magnitude of the volatility risk premium ...
Bank fragility and contagion: evidence from the bank CDS market
(Elsevier, 2016)
info:eu-repo/semantics/article,
Understanding how contagion works among financial institutions is a top priority for regulators and policy makers who aim to foster financial stability and to prevent financial crises. Using bank credit default swap (CDS) ...
Transmisión del riesgo de crédito en el sector bancario Europeo: crisis subprime y deuda soberana
(Taylor & Francis, 2014)
info:eu-repo/semantics/article,
El objetivo del presente trabajo es analizar en profundidad la transmisión del riesgo de
crédito, aproximado por los CDS spreads, en el sector bancario europeo durante el
periodo 2006-2012, intentando dar respuesta a ...
The cross-sectional variation of volatility risk premia
(Elsevier, 2016)
info:eu-repo/semantics/article,
This paper analyzes the determinants of the cross-sectional variation of the average volatility risk premia for a representative set of portfolios sorted by volatility risk premium beta. The market volatility risk premium ...
How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets
(Elsevier, 2016)
info:eu-repo/semantics/article,
This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel ...
Estimating the elasticity of intertemporal substitution with leverage
(Elsevier, 2017)
info:eu-repo/semantics/article,
Following the recent literature on intermediary asset pricing models, this paper argues that the marginal utility of wealth of financial intermediaries can be used to generate enough volatility and counter-cyclicality on ...