Estimation of distress costs associated with downgrades using regime-switching models

DOI10.1080/10920277.2007.10597483MaRDI QIDQ5019764zbMATH OpenOpenAlexFDO

Authors Andreas Milidonis, Shaun S. Wang

Publication date 10 January 2022

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2007.10597483

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Markov model for switching regressions
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Regime-Switching Model of Long-Term Stock Returns
• Autoregressive conditional heteroskedasticity and changes in regime
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• The pricing of options and corporate liabilities

Cited in

(4)

• The distress anomaly is deeper than you think: evidence from stocks and bonds
• Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx
• An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model
• The impact of a rating agency's private information and disclosed causes of rating downgrades on insurer stock returns

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