Are financial ratios relevant for trading credit risk? Evidence from the CDS market

DOI10.1007/S10479-016-2373-3zbMath1404.62102OpenAlexW2559057367MaRDI QIDQ1621926

Nikos E. Vlachogiannakis, George Chalamandaris

Publication date: 12 November 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2373-3

zbMATH Keywords

quantile regressionevent studyLassoCDSfinancial ratiosasymmetrical impact

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (4)

Do sovereign credit ratings matter for corporate credit ratings? ⋮ Developing an integrated fuzzy credit rating system for SMEs using fuzzy-BWM and fuzzy-TOPSIS-sort-C ⋮ Assessing the relevance of an information source to trading from an adaptive-markets hypothesis perspective ⋮ Credit spread approximation and improvement using random forest regression

Uses Software

• ElemStatLearn
• bootlib

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