Contagion can be defined as the probability of observing large return realizations
simultaneously across different financial markets (co-exceedances) rather than as increases in …

This paper examines equilibrium price relationships and price discovery between credit default
swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings …

The recent financial crisis has highlighted once more that interconnectedness in the financial
system is a major source of systemic risk. I suggest a practical way to levy regulatory capital …

The rise in the complexity and globalization of financial services has contributed to stronger
interconnections or linkages. While more extensive linkages contribute to economic growth …

This paper focuses on the investment behavior of pension funds in developed and emerging
market countries. First, it analyzes the main determinants of the emerging market asset …

In contrast to corporate defaults, regulators typically take a number of statutory actions to avoid
the large fiscal costs associated with bank defaults. The distance-to-default, a widely used …

This survey reviews a number of different fundamentals-based models for estimating default
probabilities for firms and/or industries, and illustrates them with real applications by …

Credit derivatives are derivative securities with payoffs contingent on the realization of a
credit event, such as default on a reference bond or a ratings downgrade of a reference entity …

This paper reviews a number of different techniques for estimating default probabilities from
the prices of publicly traded securities. These techniques are useful for assessing credit …

This paper describes a corporate sector vulnerability indicator, the expected number of
defaults (END), based on the joint occurrence of defaults among a number of firms and/or …