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Search: subject:"Reduced Form Model"
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reduced-form model
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1
A
reduced-form
model
for lease contract valuation with embedded options
Chang, Chuang-chang
;
Ho, Hsiao-Wei
;
Huang, Henry Hongren
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
2
,
pp. 841-864
Persistent link: https://www.econbiz.de/10014503183
Saved in:
2
A three-factor hazard rate model for single-name credit default swap pricing
Zhong, Yangfan
;
Mi, Yanhui
- In:
The journal of credit risk : published quarterly by …
18
(
2022
)
2
,
pp. 27-63
Persistent link: https://www.econbiz.de/10014546386
Saved in:
3
Market-consistent valuation of natural catastrophe risk
Beer, Simone
;
Braun, Alexander
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013400153
Saved in:
4
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:
5
Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities
Li, Haitao
;
Wu, Chunchi
;
Shi, Jian
- In:
China finance review international
7
(
2017
)
2
,
pp. 134-162
Persistent link: https://www.econbiz.de/10011797776
Saved in:
6
Expected credit loss estimation : embedding the forecasts of future economic conditions as per IFRS 9 guideline
Ray, Sandipan
- In:
Praj̄nȧn : journal of social and management sciences
46
(
2017
)
2
,
pp. 185-194
Persistent link: https://www.econbiz.de/10011804624
Saved in:
7
Assessing mortgage servicing rights using a
reduced-form
model
: considering the effects of interest rate risks, prepayment and default risks, and random state variables
Chiang, Shu Ling
;
Yang, Tyler
;
Tsai, Ming-shann
- In:
Journal of housing economics
32
(
2016
),
pp. 29-46
Persistent link: https://www.econbiz.de/10011631690
Saved in:
8
On modeling economic default time : a
reduced-form
model
approach
Gu, Jia-Wen
;
Jiang, Bo
;
Ching, Wai Ki
;
Zheng, Harry
- In:
Computational economics
47
(
2016
)
2
,
pp. 157-177
Persistent link: https://www.econbiz.de/10011712314
Saved in:
9
Credit valuation adjustment of cap and floor with counterparty risk : a structural pricing model for vulnerable European options
Kao, Lie Jane
- In:
Review of derivatives research
19
(
2016
)
1
,
pp. 41-64
Persistent link: https://www.econbiz.de/10011742280
Saved in:
10
Disentangling diversification in supply chain networks
Mizgier, Kamil J.
;
Wagner, Stephan M.
;
Jüttner, …
- In:
International journal of production economics
162
(
2015
),
pp. 115-124
Persistent link: https://www.econbiz.de/10010515842
Saved in:
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