Didier Cossin

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Unil Dorigny, Batiment Internef

Lausanne, 1015

Switzerland

  • University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

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SCHOLARLY PAPERS

10

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20

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75

Scholarly Papers (10)

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1.

Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk?

FAME Research Paper No. 65
Number of pages: 87 Posted: 05 Apr 2003
Daniel Aunon-Nerin, Didier Cossin, Tomas Hricko and Zhijiang Huang
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and JP Morgan
Downloads 2,428 (11,645)
Citation 63

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Credit Derivatives, Credit Risk, Default Swaps, Ratings, Equity Information

2.

Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data

Number of pages: 65 Posted: 13 Jun 2001
Didier Cossin and Tomas Hricko
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,309 (30,280)
Citation 22

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3.

Understanding the Economic Value of Legal Covenants in Investment Contracts: A Real-Options Approach to Venture Equity Contracts

FAME Research Paper No. 63
Number of pages: 60 Posted: 16 May 2003
Didier Cossin, Benoit Leleux and Entela Saliasi
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), MD - International (Institute for Management Development) - Entrepreneurship and Finance and HEC-Lausanne - Institute of Banking and Finance
Downloads 943 (48,276)
Citation 16

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Venture Capital, Real Options, Legal Covenants, Investment Contracts

4.

Pricing Prepayment Option in C&I Loans at Origination

Number of pages: 41 Posted: 02 Feb 2005
Didier Cossin and Hongze Abraham Lu
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 823 (58,224)

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Prepayment option, Double nonrecombining tree, Business loans

5.

Are European Corporate Bond and Default Swap Markets Segmented?

Downloads 539 (100,240)
Citation 8

Are European Corporate Bond and Default Swap Markets Segmented?

Number of pages: 40 Posted: 28 Jan 2005
Didier Cossin and Hongze Abraham Lu
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 320 (180,758)
Citation 1

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Credit default swaps, corporate bond yields, liquidity premium, cheapest-to-deliver

Are European Corporate Bond and Default Swap Markets Segmented?

Number of pages: 46 Posted: 01 Apr 2005
Didier Cossin and Hongze Abraham Lu
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 219 (265,511)
Citation 12

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Credit default swaps, corporate bond yields, liquidity premium, cheapest-to-deliver options, debt-CDS arbitrage

6.

A Framework for Collateral Risk Control Determination

Number of pages: 48 Posted: 10 Feb 2003
Fernando González, Didier Cossin, Zhijiang Huang and Daniel Aunon-Nerin
European Central Bank (ECB), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), JP Morgan and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 460 (121,300)
Citation 1

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Collateral, repurchase transactions, default risk, central banks, monetary policy operations

7.

Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets

Number of pages: 35 Posted: 03 Apr 2005
Didier Cossin and Gero Jung
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Graduate Institute of International and Development Studies (IHEID)
Downloads 352 (164,418)
Citation 6

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Credit Default Swaps, Sovereign Risk, Financial Crises, Event Study

8.

Credit Risk in a Network Economy

FAME Working Paper No. 106
Number of pages: 37 Posted: 28 Jun 2004
Henri O. Schellhorn and Didier Cossin
affiliation not provided to SSRN and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 344 (168,570)
Citation 11

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Credit risk, capital structure, queueing networks

9.

How Well Do Classical Credit Risk Pricing Models Fit Swap Transaction Data?

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How Well Do Classical Credit Risk Pricing Models Fit Swap Transaction Data?

EUROPEAN FINANCIAL MANAGEMENT JOURNAL
Posted: 04 Jul 1997
Didier Cossin and Hugues Pirotte
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Université Libre de Bruxelles - Solvay Brussels School of Economics and Management

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How Well Do Classical Credit Risk Pricing Models Fit Swap Transaction Data?

EUROPEAN FINANCIAL MANAGEMENT, 1998
Posted: 12 Feb 1998
Didier Cossin and Hugues Pirotte
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Université Libre de Bruxelles - Solvay Brussels School of Economics and Management

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10.

Swap Credit Risk: An Empirical Investigation on Transaction Data

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Swap Credit Risk: An Empirical Investigation on Transaction Data

Working Paper No. 9605
Posted: 06 Feb 1997
Didier Cossin and Hugues Pirotte
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Université Libre de Bruxelles - Solvay Brussels School of Economics and Management

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Swap Credit Risk: An Empirical Investigation on Transaction Data

Journal of Banking and Finance, Vol. 21, No. 10, October 1997
Posted: 25 Sep 2006
Didier Cossin and Hugues Pirotte
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Université Libre de Bruxelles - Solvay Brussels School of Economics and Management

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