Fei Fei

Barclays

1 Churchill Place

London, E14 5HP

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

411

SSRN CITATIONS

3

CROSSREF CITATIONS

6

Scholarly Papers (3)

1.

Dependence in Credit Default Swap and Equity Markets: Dynamic Copula with Markov-Switching

International Journal of Forecasting, Forthcoming
Number of pages: 42 Posted: 15 Oct 2012 Last Revised: 12 Jan 2017
Barclays, Cass Business School, City University of London and Cass Business School, City, University of London
Downloads 275 (121,442)
Citation 1

Abstract:

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Credit spread; Copula; Dependence; Regime switching; Tail dependence; Value-at-Risk

2.

Credit Rating Migration Risk and Business Cycles

Journal of Business Finance & Accounting 39, 229-263
Number of pages: 42 Posted: 02 Dec 2011 Last Revised: 19 Dec 2013
Cass Business School, City University of London, Cass Business School, City, University of London and Barclays
Downloads 135 (232,281)

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Basel III, Credit risk, Default probability, Out-of-sample prediction, Procyclicality, Rating migration, Value-at-Risk

3.

Credit Rating Migration Risk and Business Cycles

Journal of Business Finance & Accounting, Vol. 39, Issue 1‐2, pp. 229-263, 2012
Number of pages: 35 Posted: 03 Mar 2012
Barclays, Cass Business School, City University of London and Cass Business School, City, University of London
Downloads 1 (708,044)
Citation 2
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Abstract:

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Basel III, credit risk, default probability, out‐of‐sample prediction, procyclicality, rating migration, value‐at‐risk