Papers & Reviews

  • 15 Noviembre 2017
A quantitative analysis of risk premia in the corporate bond market

Keywords: bond excess return, credit default swap, distress risk premium, expected default frequency, jump-at-default risk premium.

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  • 25 Septiembre 2017
Firm-specific risk-neutral distributions: The role of CDS spreads

Keywords: risk neutral distributions; CDS spreads; cross-section of expected returns

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  • 13 Septiembre 2017
Managing counterparty risk in OTC markets

Study how banks manage their default risk before bilaterally negotiating the quantities and prices of over-the-counter (OTC) contracts resembling credit default swaps (CDSs).

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  • 11 Septiembre 2017
Identifying contagion in a banking network

Keywords: Contagion, counterparty risk, credit default swaps, networks.

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  • 30 Mayo 2017
Assessing the predictive ability of sovereign default risk on exchange rate returns

The inclusion of the default risk factor improves the forecasting accuracy upon the random walk model at short forecasting horizons.

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