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crédit spread

credit spread

institutions financières et crédit - iate.europa.eu

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Credit risk modelling in markovian hjm term structure class of models with stochastic volatility... A good credit riskmodel should incorporate the correlation between the short rate and credit spread or indirectlyinfluence the market's perception of default risk which has an impact on credit spreads.The...

institutions financières et crédit / droit civil - core.ac.uk - PDF: hdl.handle.net

Measuring credit spreads: evidence from australian eurobondsRecent theoretical models including the closed-form valuation model of Longstaff and Schwartz (1995) predict that credit spreads are driven by both an asset and interest rate factor....

PDF: hdl.handle.net

Modelling credit spreads in an illiquid south african corporate debt market... Infrequent trading leads to out-of-date market prices and stale, unreliable credit spreads....

PDF: open.uct.ac.za

Vulnerable options, risky corporate bond and credit spreadIn the current literature, the focus of credit risk analysis has been either on the valuation of risky corporate bond and credit spread, or on the valuation of vulnerable options, but never both in the same context....

PDF: citeseerx.ist.psu.edu

Modelling the evolution of credit spreads using the cox process within the hjm framework a cds option pricing model... The default event is modelled using the Cox process where the stochastic intensity represents the credit spread....

PDF: www.business.uts.edu.au

Publications scientifiques

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Essais sur le risque de défaut souverain dans les pays émergents.

... Le troisième chapitre propose un modèle stochastique afin de calculer le spread du crédit souverain journalier....

... The third chapter provides a stochastic model to calculate the daily sovereign credit spread....

général - core.ac.uk - PDF: tel.archives-ouvertes.fr

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Influence des informations comptables sur les credits bancaires aux entreprises

Cette communication s'interroge sur l'influence qu'ont les informations comptables sur les décisions bancaires d'octroi de crédit à des entreprises, sur les marges pratiquées sur le taux d'intérêt et sur les garanties personnelles demandées....

...International audienceThis paper asks the question of the influence of accounting information on banks' decision to grant a loan to business, to choose a credit spread and to ask securities....

général - core.ac.uk - PDF: halshs.archives-ouvertes.fr