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

By Didier Cossin, T. Hricko, D. Aunon-Nerin, Zhijiang Huang. 2002

144 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/68a0235c7ee1c22fb2d67c2261fd67e9e113cd3f

How researchers see this paper

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In Accounting

1. Carol Alexander
2. Andreas Kaeck

In Finance

1. Carol Alexander
2. Andreas Kaeck
3. Giovanni Guazzarotti
4. Antonio Di Cesare
5. Mario Hernandez Tinoco
6. N. Wilson
7. Matthias R. Fengler
8. Gregor N. F. Weiß

Citations in the corpus

• Regime dependent determinants of credit default swap spreads (2008, background): “Previous research by Cossin et al. (2002) and others has shown that structural variables explain more variation in credit spreads when they have lower credit quality.”
• The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009, unknown): “, Collin-Dufresne, Goldstein, and Martin (2001), Aunon-Nerin et al. (2002), Blanco,”