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subject:"Theory"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
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International journal of theoretical and applied finance
Working paper / National Bureau of Economic Research, Inc.
NBER working paper series
44
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39
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Journal of financial economics
30
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From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo
;
Khedher, Asma
;
Spreij, Peter
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
Saved in:
2
Modeling lifetime expected credit losses on bank loans
Chellathurai, Thamayanthi
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012887420
Saved in:
3
Asset allocation in bankruptcy
Bernstein, Shai
;
Colonnelli, Emanuele
;
Iverson, Ben
-
2017
Persistent link: https://www.econbiz.de/10011650357
Saved in:
4
Bankruptcy spillovers
Bernstein, Shai
;
Colonnelli, Emanuele
;
Giroud, Xavier
; …
-
2017
Persistent link: https://www.econbiz.de/10011619014
Saved in:
5
Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012270908
Saved in:
6
Measuring default risk for a portfolio of equities
Rodrigues, Matheus Pimentel
;
Maialy, Andre Cury
- In:
International journal of theoretical and applied finance
22
(
2019
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012012883
Saved in:
7
A dynamic model of central counterparty risk
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Feng, Shibi
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011970904
Saved in:
8
Bank panics and fire sales, insolvency and illiquidity
Hurd, T. R.
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011926614
Saved in:
9
Probability density of recovery rate given default of a firm's debt and its constituent tranches
Chellathurai, Thamayanthi
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011687002
Saved in:
10
Dynamic debt maturity
He, Zhiguo
;
Milbradt, Konstantin
-
2016
Persistent link: https://www.econbiz.de/10011434775
Saved in:
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