8 route de la Jonelière, BP 31222
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Audencia Nantes School of Management
Bocconi University - CAREFIN - Centre for Applied Research in Finance
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Credit default swaps, empty creditors, debt restructuring
credit risk transfer, bank liquidity, originate-to-distribute
Credit rating agencies, Rating announcements, Reputational shocks, Regulation
sovereign risk, corporate credit risk, credit default swaps, Eurozone
Managerial cultural origin, Informal financing, Trade credit, Small firm financing
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equity volatility, credit spreads, structural models, G21, C22, G10
Credit rating agencies; Market reaction; Debt structure
Equity volatility, Credit spreads, Structural models , Trading strategies
Credit spreads, term structure, level, slope, curvature
Multivariate density forecasting, distributional tests, empirical characteristic function, Value at Risk, mixture of normal.
Implied Risk-Neutral Distribution, RND, Implied Volatility Smiles, Probability Integral Transform, Options, Goodness-of-Fit Tests, NIG
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