Bankruptcy, Counterparty Risk, and Contagion
Year of publication: |
2006-05
|
---|---|
Authors: | Kraft, Holger ; Steffensen, Mogens |
Institutions: | Økonomisk Institut, Københavns Universitet |
Subject: | default risk | financial distress | default correlation | contagion | Markov chains |
-
A Semi-Analytical Parametric Model for Dependent Defaults
Balakrishna, B S, (2006)
-
Delayed Default Dependency and Default Contagion
Balakrishna, B S, (2007)
-
Levy Density Based Intensity Modeling of the Correlation Smile
Balakrishna, B S, (2008)
- More ...
-
How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach
Kraft, Holger, (2005)
-
Worst Case Portfolio Optimization and HJB-Systems
Korn, Ralf,
-
Life insurance demand under health shock risk
Kraft, Holger, (2014)
- More ...