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29 research outputs found

Risk management and the cost of equity: evidence from the United Kingdom’s non-life insurance market

Author: Abdul-Kader H.
Abudy M.
Aunon-Nerin D.
Botosan C. A.
Chava S.
Cummins J. D.
Disatnik D.
Doherty N. A.
Doherty N. A.
Froot K. A.
Garven J. R.
Gay G. D.
Greene W. H.
Hayashi F.
Hoerger T. J.
Koller T.
Kyriacou K.
Larsen C. R.
Laux C.
Li K.
Lin C.
Lloyd’s of London
Modigliani F.
Plantin G.
Shiu Y.-M.
Wooldridge J. M.
Publication venue: 'Informa UK Limited'
Publication date: 01/01/2021
Field of study

Cronfa at Swansea University

Essays on risk management with focus on credit risk

Author: Aunon-Nerin D.
Publication venue: Université de Lausanne, Faculté des hautes études commerciales
Publication date: 01/09/2006
Field of study

Serveur académique lausannois

Are Liquidity and Counterparty Risk Priced in the Credit Default Swap Market?

Author: Acharya V.V.
Arora N.
Aunon-Nerin D.
Beinstein E.
Berndt A.
Bongaerts D.
Buhler W.
Chunchi Wu
Dickey D.
Junbo Wang
Xiaoling Pu
Publication venue: 'Pageant Media US'
Publication date
Field of study

Pricing CDX Credit Default Swaps with CreditGrades and Trinomial Trees

Author: C C Finger
Christian Stewart
D Aunon-Nerin
D Duffie
J C Cox
J D Amato
J Ericsson
M G Kendall
M Jakola
Niklas F. Wagner
P Houweling
R Roll
S Bandreddi
S R Das
Publication venue: 'Elsevier BV'
Publication date: 01/01/2007
Field of study

What Drives the Price Convergence between Credit Default Swap and Put Option: New Evidence

Author: B K Goodwin
C L Culp
D Aunon-Nerin
D Y Tang
E I Altman
F Black
G Angelopoulos
I Aldasoro
J D Fonseca
J S Howe
N Friewald
N Garleanu
P Carr
P K Goldberg
R Elkamhi
R Greenwood
S Mayordomo
S R Foerster
Z He
Publication venue: 'Elsevier BV'
Publication date: 01/01/2018
Field of study

An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios

Author: C Finger
D Aunon-Nerin
D Cox
D Li
D Snyder
E De Giorgi
Enrico G. De Giorgi
J Chambers
J Grandell
J Kalbfleisch
J Kau
Jürg Burkhard
L Smith
M Jeanblanc
R Barlow
Santos Silva
T Hastie
T Shumway
W Burger
W.-V Huang
Worst
Y Deng
Y Deng
Publication venue: 'Elsevier BV'
Publication date: 01/01/2002
Field of study

The Illiquidity of CDS Market: Evidence From Index Inclusion

Author: Aditya Kaul
Ananth Madhavan
Andrei Shleifer
Aunon-Nerin
Chanatip Kitwiwattanachai
Chen
Didier Cossin
Dion Bongaerts
Francis A Longstaff
Jan Ericsson
Jiaping Qiu
Jing-Zhi Huang
Joel Hasbrouck
Neil D. Pearson
Nicolae Garleanu
Patrick Bolton
Prem C Jain
Roberto Blanco
Sasha Stoikov
Tarun Chordia
Thomas Ho
Viral V Acharya
Zhiguo He
Publication venue: 'Elsevier BV'
Publication date: 01/01/2013
Field of study

Flexing the Default Barrier

Author: A Berndt
A Novikov
C Benkert
C R Nelson
D Aunon-Nerin
D Brigo
D Brigo
D Brigo
D Brigo
D Brigo
D Cox
D Vazza
E Briys
F Black
F Rapisarda
G Dorfleitner
Gregor Dorfleitner
J Detemple
K Borovkov
K P�tzelberger
L M Ricciardi
L Sacerdote
L Wang
L Wang
M Pykhtin
P Collin-Dufresne
P Schneider
Paul Georg Schneider
R Merton
T Dangl
T Schmidt
Tanja Veza
W Walter
Publication venue: 'Elsevier BV'
Publication date: 01/01/2008
Field of study

Corporate Management of Highly Dynamic Risks: Evidence from the Demand for Terrorism Insurance in Germany

Author: A Tversky
B Hoffman
Christian Thomann
CR Cole
D Aunon-Nerin
D Harless
DC Rapoport
DC Rapoport
E Michel-Kerjan
F Fuerst
H Schlesinger
J Kalbfleisch
J.-Matthias Graf von der Schulenburg
N Keohane
P Jakus
P Wilkinson
R Hoyt
R MacMinn
R Schmidt
Razvan Pascalau
U Hübner
W Enders
W Enders
WK Viscusi
WK Viscusi
WK Viscusi
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

Accounting-Based Versus Market-Based Cross-Sectional Models of CDS Spreads

Author: Antje Berndt
Atulya Sarin
Daniel Aunon-Nerin
Darrell Duffie
Darrell Duffie
Darrell Duffie
Didier Cossin
Edward Altman
Edward Altman
Edwin J Elton
Eric Falkenstein
Eugene F Fama
Gregory R Duffee
Ilia D Dichev
James Ang
Jan Ericsson
Jan Ericsson
Navneet Arora
Paul E. Hanouna
Peter Carr
Peter Crosbie
Pierre Collin-Dufresne
Ren-Raw Chen
Sanjiv Das
Sanjiv Ranjan Das
Sreedhar Bharath
Sudheer Chava
Publication venue: 'Elsevier BV'
Publication date: 01/01/2007
Field of study

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