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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 ...
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 ...
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 ...