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Granularity adjustment for mark-to-market credit risk models
Gordy, Michael B.; Marrone, James - In: Journal of banking & finance 36 (2012) 7, pp. 1896-1910
Persistent link: https://www.econbiz.de/10009629788
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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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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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A comparative anatomy of credit risk models
Gordy, Michael B. - In: Journal of banking & finance 24 (2000) 1/2, pp. 119-149
Persistent link: https://www.econbiz.de/10001432947
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The intersection of market and credit risk
Jarrow, Robert A.; Turnbull, Stuart M. - In: Journal of banking & finance 24 (2000) 1/2, pp. 271-299
Persistent link: https://www.econbiz.de/10001432993