Work

A reduced form model of default spreads with Markov-switching macroeconomic factors

Year: 2011

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2011.01.001

Authors: Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice, Jean-Guy Simonato

Institution: HEC Montréal

Language: English

Topic: Credit Risk and Financial Regulations

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W3022341858

FWCI: 12.45

Cites: 52

Cited by: 40

Related to: 10