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Discretely sampled variance and volatility swaps versus their continuous approximations
Jarrow, Robert A.; Kchia, Younes; Larsson, Martin; … - In: Finance and stochastics 17 (2013) 2, pp. 305-324
Persistent link: https://www.econbiz.de/10009730815
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The effects of default and call risk on bond duration
Xie, Yan Alice; Liu, Sheen; Wu, Chunchi; Anderson, Bing - In: Journal of banking & finance 33 (2009) 9, pp. 1700-1708
Persistent link: https://www.econbiz.de/10003872871
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Information reduction via level crossings in a credit risk model
Jarrow, Robert A.; Protter, Philip E.; Sezer, A. Deniz - In: Finance and stochastics 11 (2007) 2, pp. 195-212
Persistent link: https://www.econbiz.de/10003439757
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A leverage ratio rule for capital adequacy
Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976
Persistent link: https://www.econbiz.de/10009708725
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Financial constraints of private firms and bank lending behavior
Behr, Patrick; Norden, Lars; Noth, Felix - In: Journal of banking & finance 37 (2013) 9, pp. 3472-3485
Persistent link: https://www.econbiz.de/10010126386
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Default prediction with dynamic sectoral and macroeconomic frailties
Chen, Peimin; Wu, Chunchi - In: Journal of banking & finance 40 (2014), pp. 211-226
Persistent link: https://www.econbiz.de/10010402234
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Liquidity, credit quality, and the relation between volatility and trading activity : evidence from the corporate bond market
Wang, Junbo; Wu, Chunchi - In: Journal of banking & finance 50 (2015), pp. 183-203
Persistent link: https://www.econbiz.de/10010509587
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The effect of information sharing between lenders on access to credit, cost of credit and loan performance : evidence from a credit registry introduction
Behr, Patrick; Sonnekalb, Simon - In: Journal of banking & finance 36 (2012) 11, pp. 3017-3032
Persistent link: https://www.econbiz.de/10009672994
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Pricing derivatives on financial securities subject to credit risk
Jarrow, Robert A.; Turnbull, Stuart M. - In: Credit risk models and management, (pp. 333-374). 2004
Persistent link: https://www.econbiz.de/10002432611
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Practical usage of credit risk models in loan portfolio and counterparty exposure management: an update
Jarrow, Robert A.; Deventer, Donald R. van - In: Credit risk models and management, (pp. 573-597). 2004
Persistent link: https://www.econbiz.de/10002433486