University of St.Gallen
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13.03.2015
We propose a novel regime-switching approach for the simulation of electricity spot prices that is inspired by the class of fundamental models and takes into account the relation between spot and forward prices. Additionally the model is able to reproduce spikes and negative prices. Market prices are derived given an observed forward curve. We ...
09.03.2015
We empirically investigate why issuers solicit and pay for multiple Ratings not only at issuance but also during the monitoring phase of a debt instrumient. Using a unique record of monthly credit rating migration data from Standard & Poor's, Moody's, and Fitch on all U.S. residential mortgage-backed securities from 1985 to 2012 ever ...
09.03.2015
Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default swaps (CDS) are positively correlated with corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find ...
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