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You searched for subject:(Credit contagion). Showing records 1 – 13 of 13 total matches.

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Cornell University

1. Kwok, Sai Man Simon. Credit And Financial Contagion: A Point Process Approach .

Degree: 2012, Cornell University

 This dissertation presents a set of econometric tools to uncover the mechanism of credit and financial contagion. First, a nonparametric Granger causality test for continuous… (more)

Subjects/Keywords: Credit contagion; Granger causality; Point process

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APA (6th Edition):

Kwok, S. M. S. (2012). Credit And Financial Contagion: A Point Process Approach . (Thesis). Cornell University. Retrieved from http://hdl.handle.net/1813/31151

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Kwok, Sai Man Simon. “Credit And Financial Contagion: A Point Process Approach .” 2012. Thesis, Cornell University. Accessed August 09, 2020. http://hdl.handle.net/1813/31151.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Kwok, Sai Man Simon. “Credit And Financial Contagion: A Point Process Approach .” 2012. Web. 09 Aug 2020.

Vancouver:

Kwok SMS. Credit And Financial Contagion: A Point Process Approach . [Internet] [Thesis]. Cornell University; 2012. [cited 2020 Aug 09]. Available from: http://hdl.handle.net/1813/31151.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kwok SMS. Credit And Financial Contagion: A Point Process Approach . [Thesis]. Cornell University; 2012. Available from: http://hdl.handle.net/1813/31151

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

2. Toto, Andrea. Three essays on liquidity and contagion.

Degree: Departament d'Economia, 2016, Universitat Jaume I

 La presente tesis doctoral se compone de tres artículos. En el primero artículo se revisan los modelos de riesgo de crédito y los modelos de… (more)

Subjects/Keywords: financial contagion; credit risk; credit risk models; financial networks; trade credit; counterparty risk; Economia; 33

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APA (6th Edition):

Toto, A. (2016). Three essays on liquidity and contagion. (Thesis). Universitat Jaume I. Retrieved from http://hdl.handle.net/10803/386238

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Toto, Andrea. “Three essays on liquidity and contagion.” 2016. Thesis, Universitat Jaume I. Accessed August 09, 2020. http://hdl.handle.net/10803/386238.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Toto, Andrea. “Three essays on liquidity and contagion.” 2016. Web. 09 Aug 2020.

Vancouver:

Toto A. Three essays on liquidity and contagion. [Internet] [Thesis]. Universitat Jaume I; 2016. [cited 2020 Aug 09]. Available from: http://hdl.handle.net/10803/386238.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Toto A. Three essays on liquidity and contagion. [Thesis]. Universitat Jaume I; 2016. Available from: http://hdl.handle.net/10803/386238

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of St Andrews

3. Wu, Weiou. Correlations and linkages in credit risk : an investigation of the credit default swap market during the turmoil.

Degree: PhD, 2013, University of St Andrews

 This thesis investigates correlations and linkages in credit risk that widely exist in all sectors of the financial markets. The main body of this thesis… (more)

Subjects/Keywords: 332.63; Credit risk; Credit derivatives; Copula; Credit contagion; HG6024.A3W8; Credit derivatives; Swaps (Finance); Default (Finance); Financial risk; Copulas (Mathematical statistics)

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APA (6th Edition):

Wu, W. (2013). Correlations and linkages in credit risk : an investigation of the credit default swap market during the turmoil. (Doctoral Dissertation). University of St Andrews. Retrieved from http://hdl.handle.net/10023/4048

Chicago Manual of Style (16th Edition):

Wu, Weiou. “Correlations and linkages in credit risk : an investigation of the credit default swap market during the turmoil.” 2013. Doctoral Dissertation, University of St Andrews. Accessed August 09, 2020. http://hdl.handle.net/10023/4048.

MLA Handbook (7th Edition):

Wu, Weiou. “Correlations and linkages in credit risk : an investigation of the credit default swap market during the turmoil.” 2013. Web. 09 Aug 2020.

Vancouver:

Wu W. Correlations and linkages in credit risk : an investigation of the credit default swap market during the turmoil. [Internet] [Doctoral dissertation]. University of St Andrews; 2013. [cited 2020 Aug 09]. Available from: http://hdl.handle.net/10023/4048.

Council of Science Editors:

Wu W. Correlations and linkages in credit risk : an investigation of the credit default swap market during the turmoil. [Doctoral Dissertation]. University of St Andrews; 2013. Available from: http://hdl.handle.net/10023/4048


Washington University in St. Louis

4. Oh, Dong Chuhl. Contagion of a Crisis, Corporate Governance, and Credit Rating.

Degree: PhD, Business Administration, 2011, Washington University in St. Louis

 My dissertation aims at understanding three critical issues confronting the financial world: contagion of a crisis, corporate governance, and credit rating. It contains four chapters.… (more)

Subjects/Keywords: Economics, Finance; Contagion, Corporate governance, Credit rating, Crisis

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APA (6th Edition):

Oh, D. C. (2011). Contagion of a Crisis, Corporate Governance, and Credit Rating. (Doctoral Dissertation). Washington University in St. Louis. Retrieved from https://openscholarship.wustl.edu/etd/264

Chicago Manual of Style (16th Edition):

Oh, Dong Chuhl. “Contagion of a Crisis, Corporate Governance, and Credit Rating.” 2011. Doctoral Dissertation, Washington University in St. Louis. Accessed August 09, 2020. https://openscholarship.wustl.edu/etd/264.

MLA Handbook (7th Edition):

Oh, Dong Chuhl. “Contagion of a Crisis, Corporate Governance, and Credit Rating.” 2011. Web. 09 Aug 2020.

Vancouver:

Oh DC. Contagion of a Crisis, Corporate Governance, and Credit Rating. [Internet] [Doctoral dissertation]. Washington University in St. Louis; 2011. [cited 2020 Aug 09]. Available from: https://openscholarship.wustl.edu/etd/264.

Council of Science Editors:

Oh DC. Contagion of a Crisis, Corporate Governance, and Credit Rating. [Doctoral Dissertation]. Washington University in St. Louis; 2011. Available from: https://openscholarship.wustl.edu/etd/264


Université de Grenoble

5. Gex, Mathieu. Le marché des credit default swaps : effets de contagion et processus de découverte des prix durant les crises. : The credit default swap market : contagion effects and price discovery process during crises.

Degree: Docteur es, Sciences de gestion, 2011, Université de Grenoble

Cette thèse étudie la dynamique du marché des credit default swaps (CDS), instruments financiers de transfert du risque du crédit, et de ses relations avec… (more)

Subjects/Keywords: Credit default swaps; Dérivés de crédit; Transfert de risque; Crises financières; Contagion; Causalité; Credit default swaps; Credit derivatives; Risk transfert; Financial crises; Contagion; Causality

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APA (6th Edition):

Gex, M. (2011). Le marché des credit default swaps : effets de contagion et processus de découverte des prix durant les crises. : The credit default swap market : contagion effects and price discovery process during crises. (Doctoral Dissertation). Université de Grenoble. Retrieved from http://www.theses.fr/2011GRENG003

Chicago Manual of Style (16th Edition):

Gex, Mathieu. “Le marché des credit default swaps : effets de contagion et processus de découverte des prix durant les crises. : The credit default swap market : contagion effects and price discovery process during crises.” 2011. Doctoral Dissertation, Université de Grenoble. Accessed August 09, 2020. http://www.theses.fr/2011GRENG003.

MLA Handbook (7th Edition):

Gex, Mathieu. “Le marché des credit default swaps : effets de contagion et processus de découverte des prix durant les crises. : The credit default swap market : contagion effects and price discovery process during crises.” 2011. Web. 09 Aug 2020.

Vancouver:

Gex M. Le marché des credit default swaps : effets de contagion et processus de découverte des prix durant les crises. : The credit default swap market : contagion effects and price discovery process during crises. [Internet] [Doctoral dissertation]. Université de Grenoble; 2011. [cited 2020 Aug 09]. Available from: http://www.theses.fr/2011GRENG003.

Council of Science Editors:

Gex M. Le marché des credit default swaps : effets de contagion et processus de découverte des prix durant les crises. : The credit default swap market : contagion effects and price discovery process during crises. [Doctoral Dissertation]. Université de Grenoble; 2011. Available from: http://www.theses.fr/2011GRENG003


University of Manchester

6. Li, Wang. Default Contagion Modelling and Counterparty Credit Risk.

Degree: 2017, University of Manchester

 This thesis introduces models for pricing credit default swaps (CDS) and evaluating the counterparty risk when buying a CDS in the over-the-counter (OTC) market from… (more)

Subjects/Keywords: Default Contagion Modelling; Counterparty Credit Risk; CVA and DVA; Finite-difference Numerical Schemes; PDE and PIDE; Hybrid Numerical Schemes

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APA (6th Edition):

Li, W. (2017). Default Contagion Modelling and Counterparty Credit Risk. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:308577

Chicago Manual of Style (16th Edition):

Li, Wang. “Default Contagion Modelling and Counterparty Credit Risk.” 2017. Doctoral Dissertation, University of Manchester. Accessed August 09, 2020. http://www.manchester.ac.uk/escholar/uk-ac-man-scw:308577.

MLA Handbook (7th Edition):

Li, Wang. “Default Contagion Modelling and Counterparty Credit Risk.” 2017. Web. 09 Aug 2020.

Vancouver:

Li W. Default Contagion Modelling and Counterparty Credit Risk. [Internet] [Doctoral dissertation]. University of Manchester; 2017. [cited 2020 Aug 09]. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:308577.

Council of Science Editors:

Li W. Default Contagion Modelling and Counterparty Credit Risk. [Doctoral Dissertation]. University of Manchester; 2017. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:308577


University of Iowa

7. Ilerisoy, Mahmut. Essays on liquidity risk, credit market contagion, and corporate cash holdings.

Degree: PhD, Business Administration, 2015, University of Iowa

  This thesis consists of three chapters and investigates the issues related to liquidity risk, credit market contagion, and corporate cash holdings. The first chapter… (more)

Subjects/Keywords: publicabstract; Ambiguity Aversion; Corporate Cash Holdings; Credit Markets; Financial Contagion; Hedge Funds; Liquidity risk; Business Administration, Management, and Operations

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APA (6th Edition):

Ilerisoy, M. (2015). Essays on liquidity risk, credit market contagion, and corporate cash holdings. (Doctoral Dissertation). University of Iowa. Retrieved from https://ir.uiowa.edu/etd/1855

Chicago Manual of Style (16th Edition):

Ilerisoy, Mahmut. “Essays on liquidity risk, credit market contagion, and corporate cash holdings.” 2015. Doctoral Dissertation, University of Iowa. Accessed August 09, 2020. https://ir.uiowa.edu/etd/1855.

MLA Handbook (7th Edition):

Ilerisoy, Mahmut. “Essays on liquidity risk, credit market contagion, and corporate cash holdings.” 2015. Web. 09 Aug 2020.

Vancouver:

Ilerisoy M. Essays on liquidity risk, credit market contagion, and corporate cash holdings. [Internet] [Doctoral dissertation]. University of Iowa; 2015. [cited 2020 Aug 09]. Available from: https://ir.uiowa.edu/etd/1855.

Council of Science Editors:

Ilerisoy M. Essays on liquidity risk, credit market contagion, and corporate cash holdings. [Doctoral Dissertation]. University of Iowa; 2015. Available from: https://ir.uiowa.edu/etd/1855

8. Papafilis, Michail - Panayiotis. Essays on Banking and Finance.

Degree: 2018, University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς

 The global financial crisis that began in the US as a subprime mortgage crisis in 2007 and quickly spread to the other side of the… (more)

Subjects/Keywords: Κρατικός πιστωτικός κίνδυνος; Κανάλι ισολογισμού; Κανάλι τραπεζικού δανεισμού; Τραπεζικός πιστωτικός κίνδυνος; Κρίση οικονομική; Sovereign credit risk; Bank credit risk; Contagion effects; Bank lending channel; Balance sheet channel; Financial crisis

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APA (6th Edition):

Papafilis, M. -. P. (2018). Essays on Banking and Finance. (Thesis). University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς. Retrieved from http://hdl.handle.net/10442/hedi/44791

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Papafilis, Michail - Panayiotis. “Essays on Banking and Finance.” 2018. Thesis, University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς. Accessed August 09, 2020. http://hdl.handle.net/10442/hedi/44791.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Papafilis, Michail - Panayiotis. “Essays on Banking and Finance.” 2018. Web. 09 Aug 2020.

Vancouver:

Papafilis M-P. Essays on Banking and Finance. [Internet] [Thesis]. University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς; 2018. [cited 2020 Aug 09]. Available from: http://hdl.handle.net/10442/hedi/44791.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Papafilis M-P. Essays on Banking and Finance. [Thesis]. University of Piraeus (UNIPI); Πανεπιστήμιο Πειραιώς; 2018. Available from: http://hdl.handle.net/10442/hedi/44791

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

9. Sabkha, Saker. On the dynamic behavior of the worldwide sovereign Credit Default Swaps markets : A propos du comportement dynamique des marchés de CDS souverains mondiaux.

Degree: Docteur es, Sciences de gestion, 2018, Lyon; Institut des Hautes Etudes Commerciales (Carthage, Tunisie)

Le phénomène de contagion, les hypothèses d'efficience et les transferts de volatilité sont parmi les théories économiques les plus importantes, car elles fournissent une vision… (more)

Subjects/Keywords: Credit Default Swaps; Marchés souverains mondiaux; Modèles économétrique fractionnellement intégrés; Prédictibilité des volatilités; Contagion; Transfert de risques; Credit Default Swaps; Worldwide Sovereign Markets; Fractionally-integrated models; Forecasting volatility; Contagion; Risk spillover; 650

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APA (6th Edition):

Sabkha, S. (2018). On the dynamic behavior of the worldwide sovereign Credit Default Swaps markets : A propos du comportement dynamique des marchés de CDS souverains mondiaux. (Doctoral Dissertation). Lyon; Institut des Hautes Etudes Commerciales (Carthage, Tunisie). Retrieved from http://www.theses.fr/2018LYSE1127

Chicago Manual of Style (16th Edition):

Sabkha, Saker. “On the dynamic behavior of the worldwide sovereign Credit Default Swaps markets : A propos du comportement dynamique des marchés de CDS souverains mondiaux.” 2018. Doctoral Dissertation, Lyon; Institut des Hautes Etudes Commerciales (Carthage, Tunisie). Accessed August 09, 2020. http://www.theses.fr/2018LYSE1127.

MLA Handbook (7th Edition):

Sabkha, Saker. “On the dynamic behavior of the worldwide sovereign Credit Default Swaps markets : A propos du comportement dynamique des marchés de CDS souverains mondiaux.” 2018. Web. 09 Aug 2020.

Vancouver:

Sabkha S. On the dynamic behavior of the worldwide sovereign Credit Default Swaps markets : A propos du comportement dynamique des marchés de CDS souverains mondiaux. [Internet] [Doctoral dissertation]. Lyon; Institut des Hautes Etudes Commerciales (Carthage, Tunisie); 2018. [cited 2020 Aug 09]. Available from: http://www.theses.fr/2018LYSE1127.

Council of Science Editors:

Sabkha S. On the dynamic behavior of the worldwide sovereign Credit Default Swaps markets : A propos du comportement dynamique des marchés de CDS souverains mondiaux. [Doctoral Dissertation]. Lyon; Institut des Hautes Etudes Commerciales (Carthage, Tunisie); 2018. Available from: http://www.theses.fr/2018LYSE1127

10. Rahman, Dima. The fragility of financial institutions : dependence structure, extremal behaviour and contagion : La fragilité des institutions financières : structure de dépendance, comportements extrêmes et contagion.

Degree: Docteur es, Sciences Economiques, 2011, Université Paris X – Nanterre

Cette thèse se propose d’analyser la structure et la dynamique de dépendance de crédit des institutions financières aux Etats-Unis et en Europe durant la crise… (more)

Subjects/Keywords: Crise financière; Institutions financières; Contrat de couverture de défaillance "CDS"; Dépendance de crédit; Contagion; Risque de crédit; Valeurs extrêmes; Structure de dépendance; Risque de contrepartie; Simulation Monte Carlo; Régression quantile; Corrélations dynamiques; Financial crisis; Financial institutions; Credit Default Swap (CDS); Credit depedence; Contagion; Extremes; Dependence structure; Credit risk; Default risk; Counterparty risk; Monte Carlo simulation; Quantile regression; Dynamic correlation

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APA (6th Edition):

Rahman, D. (2011). The fragility of financial institutions : dependence structure, extremal behaviour and contagion : La fragilité des institutions financières : structure de dépendance, comportements extrêmes et contagion. (Doctoral Dissertation). Université Paris X – Nanterre. Retrieved from http://www.theses.fr/2011PA100128

Chicago Manual of Style (16th Edition):

Rahman, Dima. “The fragility of financial institutions : dependence structure, extremal behaviour and contagion : La fragilité des institutions financières : structure de dépendance, comportements extrêmes et contagion.” 2011. Doctoral Dissertation, Université Paris X – Nanterre. Accessed August 09, 2020. http://www.theses.fr/2011PA100128.

MLA Handbook (7th Edition):

Rahman, Dima. “The fragility of financial institutions : dependence structure, extremal behaviour and contagion : La fragilité des institutions financières : structure de dépendance, comportements extrêmes et contagion.” 2011. Web. 09 Aug 2020.

Vancouver:

Rahman D. The fragility of financial institutions : dependence structure, extremal behaviour and contagion : La fragilité des institutions financières : structure de dépendance, comportements extrêmes et contagion. [Internet] [Doctoral dissertation]. Université Paris X – Nanterre; 2011. [cited 2020 Aug 09]. Available from: http://www.theses.fr/2011PA100128.

Council of Science Editors:

Rahman D. The fragility of financial institutions : dependence structure, extremal behaviour and contagion : La fragilité des institutions financières : structure de dépendance, comportements extrêmes et contagion. [Doctoral Dissertation]. Université Paris X – Nanterre; 2011. Available from: http://www.theses.fr/2011PA100128

11. Thoumin, Marc-Henri. Analyse de la dynamique du phénomène de contagion entre les obligations souveraines européennes au cours des récents épisodes de crises financières : Sovereign risk exploration in times of crisis : a look at financial contagion.

Degree: Docteur es, Economie et finance, 2017, Paris Sciences et Lettres

 Les périodes marquées par une aversion au risque intense sont souvent l’origine de distorsions notables dans les prix de marché, et de pertes substantielles pour… (more)

Subjects/Keywords: Crise souveraine; Probabilité de défaut; Contagion; Risque souverain; Aversion au risque / appétit pour le risque; CDS. obligations souveraines; Sovereign crisis; Default probability; Financial contagion; Credit risk; Risk aversion / risk appetite; CDS spreads. sovereign bonds; 330.94

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APA (6th Edition):

Thoumin, M. (2017). Analyse de la dynamique du phénomène de contagion entre les obligations souveraines européennes au cours des récents épisodes de crises financières : Sovereign risk exploration in times of crisis : a look at financial contagion. (Doctoral Dissertation). Paris Sciences et Lettres. Retrieved from http://www.theses.fr/2017PSLEM039

Chicago Manual of Style (16th Edition):

Thoumin, Marc-Henri. “Analyse de la dynamique du phénomène de contagion entre les obligations souveraines européennes au cours des récents épisodes de crises financières : Sovereign risk exploration in times of crisis : a look at financial contagion.” 2017. Doctoral Dissertation, Paris Sciences et Lettres. Accessed August 09, 2020. http://www.theses.fr/2017PSLEM039.

MLA Handbook (7th Edition):

Thoumin, Marc-Henri. “Analyse de la dynamique du phénomène de contagion entre les obligations souveraines européennes au cours des récents épisodes de crises financières : Sovereign risk exploration in times of crisis : a look at financial contagion.” 2017. Web. 09 Aug 2020.

Vancouver:

Thoumin M. Analyse de la dynamique du phénomène de contagion entre les obligations souveraines européennes au cours des récents épisodes de crises financières : Sovereign risk exploration in times of crisis : a look at financial contagion. [Internet] [Doctoral dissertation]. Paris Sciences et Lettres; 2017. [cited 2020 Aug 09]. Available from: http://www.theses.fr/2017PSLEM039.

Council of Science Editors:

Thoumin M. Analyse de la dynamique du phénomène de contagion entre les obligations souveraines européennes au cours des récents épisodes de crises financières : Sovereign risk exploration in times of crisis : a look at financial contagion. [Doctoral Dissertation]. Paris Sciences et Lettres; 2017. Available from: http://www.theses.fr/2017PSLEM039

12. Anderson, Mike. Contagion in Credit Default Swap Premiums and Spillover Effects from Bond Liquidity to Stock Returns.

Degree: PhD, Business Administration, 2012, The Ohio State University

  This dissertation investigates two distinct topics. First, I document an increase in the correlations between credit default swap (CDS) spread changes during the credit(more)

Subjects/Keywords: Finance; credit default swaps; cds; liquidity; crisis; correlation; contagion; cost of debt; credit risk; debt; bond

…CHAPTER 1 PAGE Contagion in Credit Default Swap Premiums . . . . . . . . . . . . . . . 1.1… …Pairwise Correlation Coefficients . . . . . . . . . . . 22 xii CHAPTER 1 Contagion in Credit… …credit factors amplified correlations. After documenting contagion, I investigate why it… …counterparty risk as a source of contagion. Eichengreen et al. (2009) show that the credit… …affected correlations in CDS spread changes during the credit crisis. Second, credit contagion… 

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APA (6th Edition):

Anderson, M. (2012). Contagion in Credit Default Swap Premiums and Spillover Effects from Bond Liquidity to Stock Returns. (Doctoral Dissertation). The Ohio State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=osu1334406908

Chicago Manual of Style (16th Edition):

Anderson, Mike. “Contagion in Credit Default Swap Premiums and Spillover Effects from Bond Liquidity to Stock Returns.” 2012. Doctoral Dissertation, The Ohio State University. Accessed August 09, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=osu1334406908.

MLA Handbook (7th Edition):

Anderson, Mike. “Contagion in Credit Default Swap Premiums and Spillover Effects from Bond Liquidity to Stock Returns.” 2012. Web. 09 Aug 2020.

Vancouver:

Anderson M. Contagion in Credit Default Swap Premiums and Spillover Effects from Bond Liquidity to Stock Returns. [Internet] [Doctoral dissertation]. The Ohio State University; 2012. [cited 2020 Aug 09]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1334406908.

Council of Science Editors:

Anderson M. Contagion in Credit Default Swap Premiums and Spillover Effects from Bond Liquidity to Stock Returns. [Doctoral Dissertation]. The Ohio State University; 2012. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1334406908

13. Li, Wang. Default contagion modelling and counterparty credit risk.

Degree: PhD, 2017, University of Manchester

 This thesis introduces models for pricing credit default swaps (CDS) and evaluating the counterparty risk when buying a CDS in the over-the-counter (OTC) market from… (more)

Subjects/Keywords: 332.7; PDE and PIDE; Hybrid Numerical Schemes; Finite-difference Numerical Schemes; Counterparty Credit Risk; Default Contagion Modelling; CVA and DVA

…Li Doctor of Philosophy Default Contagion Modelling and Counterparty Credit Risk April 3… …Joint Default Probability against Default Contagion Strength ᾱ1,2 . . . . 154 4.12 Joint… …probability with default contagion ᾱ1,2 . . . . . . . . 157 4.14 Marginal Default Probability… …160 4.16 The swap rate premium against the size of default contagion . . . . . . 161 4.17… …contagion CDS value distribution . . . . . . . . . . . . . . . . . . 165 4.19 Expected post… 

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APA (6th Edition):

Li, W. (2017). Default contagion modelling and counterparty credit risk. (Doctoral Dissertation). University of Manchester. Retrieved from https://www.research.manchester.ac.uk/portal/en/theses/default-contagion-modelling-and-counterparty-credit-risk(76eee42a-d83d-4af9-956e-050615298b65).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.727974

Chicago Manual of Style (16th Edition):

Li, Wang. “Default contagion modelling and counterparty credit risk.” 2017. Doctoral Dissertation, University of Manchester. Accessed August 09, 2020. https://www.research.manchester.ac.uk/portal/en/theses/default-contagion-modelling-and-counterparty-credit-risk(76eee42a-d83d-4af9-956e-050615298b65).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.727974.

MLA Handbook (7th Edition):

Li, Wang. “Default contagion modelling and counterparty credit risk.” 2017. Web. 09 Aug 2020.

Vancouver:

Li W. Default contagion modelling and counterparty credit risk. [Internet] [Doctoral dissertation]. University of Manchester; 2017. [cited 2020 Aug 09]. Available from: https://www.research.manchester.ac.uk/portal/en/theses/default-contagion-modelling-and-counterparty-credit-risk(76eee42a-d83d-4af9-956e-050615298b65).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.727974.

Council of Science Editors:

Li W. Default contagion modelling and counterparty credit risk. [Doctoral Dissertation]. University of Manchester; 2017. Available from: https://www.research.manchester.ac.uk/portal/en/theses/default-contagion-modelling-and-counterparty-credit-risk(76eee42a-d83d-4af9-956e-050615298b65).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.727974

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