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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Mathematics and financial economics"
~isPartOf:"The journal of fixed income"
~subject:"Credit risk"
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International journal of theoretical and applied finance
Mathematics and financial economics
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Credit risk : measurement, evaluation and management ; [on March 13th - 15th 2002, the 8th Econometric Workshop in Karlsruhe was held at the University of Karlsruhe (TH), Germany] ; with 85 figures
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Revisiting interest rate swap valuation with counterparty risk, wrong-way risk, and OIS discounting
Gargouri, Ayoub
;
Lai, Van Son
;
Soumaré, Issouf
- In:
The journal of fixed income
26
(
2017
)
3
,
pp. 63-80
Persistent link: https://www.econbiz.de/10011684745
Saved in:
2
Counterparty risk and funding : the four wings of the TVA
Crépey, Stéphane
;
Gerboud, Rémi
;
Grbac, Zorana
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009748728
Saved in:
3
A tractable LIBOR model with default risk
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Mathematics and financial economics
7
(
2013
)
2
,
pp. 203-227
Persistent link: https://www.econbiz.de/10009736861
Saved in:
4
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
5
Effect of asset value correlation on credit-linked note values
Hui, Cho H.
;
Lo, C. F.
- In:
International journal of theoretical and applied finance
5
(
2002
)
5
,
pp. 455-478
Persistent link: https://www.econbiz.de/10001687127
Saved in:
6
Transmission of swap spreads and volatilities in the Japenese swap market
Eom, Young Ho
;
Subrahmanyam, Marti G.
;
Uno, Jun
- In:
The journal of fixed income
12
(
2002
)
1
,
pp. 6-28
Persistent link: https://www.econbiz.de/10001725689
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