Sovereign CDS calibration under a hybrid sovereign risk model
Year of publication: |
2018
|
---|---|
Authors: | Diop, Sidy ; Pascucci, Andrea ; Francesco, Marco Di ; Marchi, Gian Luca De |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 25.2018, 3/4, p. 336-360
|
Subject: | asymptotic expansion | Constant Elasticity of Variance model | Credit default swap | foreign exchange rate | hybrid credit-equity model | Kreditderivat | Credit derivative | Länderrisiko | Country risk | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | Wechselkurs | Exchange rate |
-
Sovereign credit risk and exchange rates : Evidence from CDS quanto spreads
Augustin, Patrick, (2020)
-
Exchange rates and sovereign risk : a nonlinear approach based on local Gaussian correlations
Heinlein, Reinhold, (2024)
-
Assessing the predictive ability of sovereign default risk on exchange rate returns
Foroni, Claudia, (2018)
- More ...
-
Sovereign CDS Calibration under a Hybrid Sovereign Risk Model
De Marchi, Gian Luca, (2018)
-
On the complete model with stochastic volatility by Hobson and Rogers
Pascucci, Andrea, (2005)
-
Di Francesco, Marco, (2021)
- More ...