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

DOI10.1080/10920277.2007.10597483zbMATH Open1480.91291OpenAlexW3121252837MaRDI QIDQ5019764FDOQ5019764

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

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Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• A Markov model for switching regressions
• Autoregressive conditional heteroskedasticity and changes in regime
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Title not available (Why is that?)
• A Regime-Switching Model of Long-Term Stock Returns

Cited In (4)

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

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