The Jarrow/Turnbull default risk model—Evidence from the German market

M Frühwirth, L Sögner - The European Journal of Finance, 2006 - Taylor & Francis
This article estimates default intensities within the continuous-time Jarrow and Turnbull
model for German bank and corporate bond prices. It is shown that a joint implicit estimation …

Lemmings in the bond market? An empirical analysis of the term structure of credit spreads

N Rokkanen - Financial Markets and Portfolio Management, 2009 - Springer
The paper examines the credit spread between government and corporate bonds at different
maturities. Theoretical models assume that credit risk premiums for high quality firms …

[BOOK][B] Integrated market and credit portfolio models: risk measurement and computational aspects

P Grundke - 2008 - books.google.com
Banks are exposed to various kinds of risks; among them are credit default risks, market
price risks and operational risks the most important ones. Aggregating these different risk ex …

[PDF][PDF] The risk microstructure of corporate bonds: A Bayesian analysis

M Frühwirth, P Schneider, L Sögner - 2006 - efmaefm.org
This article presents joint econometric analysis of interest rate risk, issuer-specific risk
(especially credit risk) and bond-specific risk (especially liquidity risk) in a Lando (1998) type …

[PDF][PDF] Modelling spread risk under the solvency II Framework

JM Lindhal - AMSE 2017 - researchgate.net
This paper attempts to analyse the suitability of different internal models for spread risk in
Solvency II. For this purpose, we have used the monthly data from spread series, released …

[HTML][HTML] El análisis financiero dinámico como herramienta para el desarrollo de modelos internos en el marco de Solvencia II

PD Santomil - 2010 - dialnet.unirioja.es
Para alcanzar un mercado de seguros estable y eficiente es preciso que el sector
asegurador disponga de recursos propios suficientes, de ahí que el fin principal de las …

[CITATION][C] Private Debt

GA Martin - The Journal of Alternative Investments, 1998 - pm-research.com
T ment vehicle for various US investors, substantially outpacing the private equity market as
a source of funds for US corporations. The market has a set of unique features that …