South Kensington Campus
London SW7 2AZ, SW7 2AZ
Imperial College Business School
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Credit default swaps, empty creditors, debt restructuring
Credit rating agencies, Rating announcements, Reputational shocks, Regulation
Sovereign CDS spreads, Default and Liquidity Intensities, Grid Search Method and Exponential Affine Models
Banking, Capital Structure, Financial Crisis
term structure of sovereign credit default swaps, maximum likelihood, Kalman filter, liquidity risk
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File name: j-036X.
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equity volatility, credit spreads, structural models, G21, C22, G10
CDS, Sovereign Risk, Credit Risk Premium, Media Tone
Equity volatility, Credit spreads, Structural models , Trading strategies
Credit spreads, term structure, level, slope, curvature
Credit Correlation, Clustering, Principle Components Analysis, Ratingsma separated]
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