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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 ...
Do sovereign ratings cause instability in cross-border emerging CDS markets?
(Elsevier, 2021)
info:eu-repo/semantics/article,
We analyse the cross-border transmission effect of credit ratings on sovereign CDSs covering a broad sample of emerging countries during the period 2004 to 2015. This study differentiates between the spillover and competition ...
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
(Routledge, 2020)
info:eu-repo/semantics/article,
This paper analyzes the factor structure and cross-sectional variability of a set of expected excess returns extracted from option prices and a non-parametric and out-of-sample stochastic discount factor. We argue that the ...
The quality premium with leverage and liquidity constraints
(Elsevier, 2021)
info:eu-repo/semantics/article,
This research analyzes the causes of the quality premium, one of the most intriguing and successful investment strategies in equity markets. While previous research has argued that psychological biases explain the performance ...
Guarantee requirements by European central counterparties and international volatility spillovers
(JAI Press, 2022)
Artículo / Artikulua,
This analysis addressed the potential systemic effects of guarantee requirements by central counterparties. Using data from the Spanish BME and German Eurex central clearing counterparties and controlling for tail risk and ...
Lagged accuracy in credit-risk measures
(Elsevier, 2022)
info:eu-repo/semantics/article,
This paper analyzes the magnitude (accuracy) and length (time) of the lag in the incorporation of new information in different measures of credit risk. The results, for US firms, show a lag for Altman’s Z accounting measure ...
The nexus between sovereign CDS and stock market volatility: new evidence
(MDPI, 2021)
info:eu-repo/semantics/article,
This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices. This estimation is performed ...
A systematic review of sovereign connectedness on emerging economies
(Elsevier, 2019)
info:eu-repo/semantics/article,
This article systematically reviews the academic literature on emerging market contagion in order to summarize what we have learnt about the transmission channels existing in these countries. Given the large body of academic ...
The role of internal corporate governance mechanisms on default risk: a systematic review for different institutional settings
(Elsevier, 2020)
info:eu-repo/semantics/article,
Recent financial downturns, characterized by the significant failures of firms, have revealed the need to control credit risk. Latest literature has shown that weak corporate governance structures are related to high levels ...
Spillover dynamics effects between risk-neutral equity and treasury volatilities
(Springer, 2022)
Artículo / Artikulua,
Macro-finance asset pricing models provide a rationale for connectedness dynamics between equity and Treasury risk-neutral volatilities. In this paper, we study the total and directional connectedness, in the sense of ...