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Pricing credit default swaps under multifactor reduced-form models : a differential quadrature approach
Andreoli, Alessandro; Ballestra, Luca Vincenzo; … - In: Computational economics 51 (2018) 3, pp. 379-406
Persistent link: https://www.econbiz.de/10011963685
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Hedge effectiveness of the credit default swap indices : a spectral decomposition and network topology analysis
Sinka, Peter; Zeitsch, Peter J. - In: Computational economics 60 (2022) 4, pp. 1375-1412
Persistent link: https://www.econbiz.de/10013447437
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Performance of tail hedged portfolio with third moment variation swap
Lee, Kyungsub; Seo, Byoung Ki - In: Computational economics 50 (2017) 3, pp. 447-471
Persistent link: https://www.econbiz.de/10011783329
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Evaluating the default risk of bond portfolios with extreme value theory
Ma, Yong; Zhang, Zhengjun; Zhang, Weiguo; Xu, Weidong - In: Computational economics 45 (2015) 4, pp. 647-668
Persistent link: https://www.econbiz.de/10011440981
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Portfolio correlations in the bank-firm credit market of Japan
Luu, Duc Thi - In: Computational economics 60 (2022) 2, pp. 529-569
Persistent link: https://www.econbiz.de/10013380791
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How unlucky is 25-Sigma?
Dowd, Kevin; Cotter, John; Humphrey, Chris; Woods, Margaret - In: The journal of portfolio management : a publication of … 34 (2007/08) 4, pp. 76-80
Persistent link: https://www.econbiz.de/10003769562
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The slicing method : determining insensitivity regions of probability weighting functions
Egozcue, Martín; García, Luis Fuentes; Zitikis, Ričardas - In: Computational economics 61 (2023) 4, pp. 1369-1402
Persistent link: https://www.econbiz.de/10014327061
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Discrete time non-homogeneous semi-markov reliability transition credit risk models and the default distribution functions
D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Computational economics 38 (2011) 4, pp. 465-481
Persistent link: https://www.econbiz.de/10009356876
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A new methodology for estimating internal credit risk and bankruptcy prediction under Basel II regime
Naresh Kumar, M.; Rao, V. Sree Hari - In: Computational economics 46 (2015) 1, pp. 83-102
Persistent link: https://www.econbiz.de/10011441045
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Cascades in real interbank markets
Karimi, Fariba; Raddant, Matthias - In: Computational economics 47 (2015) 1, pp. 47-66
Persistent link: https://www.econbiz.de/10011443421