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Time series models for credit default swap premiums
Eifert, Márton - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 21-44
Persistent link: https://www.econbiz.de/10011380101
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Contingent credit default swaps: accurate and approximate pricing
Koziol, Christian; Schön, Thomas - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10011566278
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Modeling credit spreads with the Cheyette model and its application to credit default swaptions
Natcheva-Acar, Kalina; Acar, Sarp Kaya; Krekel, Martin - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 47-71
Persistent link: https://www.econbiz.de/10009518037
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Credit default swaps and debt overhang
Wong, Tak-Yuen; Yu, Jin - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2069-2097
Persistent link: https://www.econbiz.de/10013262912
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Tail risk concerns everywhere
Gao, George P.; Lu, Xiaomeng; Song, Zhaogang - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3111-3130
Persistent link: https://www.econbiz.de/10012039979
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Optimal credit swap portfolios
Giesecke, Kay; Kim, Baeho; Kim, Jack; Tsoukalas, Gerry - In: Management science : journal of the Institute for … 60 (2014) 9, pp. 2291-2307
Persistent link: https://www.econbiz.de/10010461900
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Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - In: Management science : journal of the Institute for … 60 (2014) 9, pp. 2248-2268
Persistent link: https://www.econbiz.de/10010461908
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Pricing a class of American and European path dependent securities
Hilliard, Jimmy E.; Kau, James B.; Keenan, Donald C.; … - In: Management science : journal of the Institute for … 41 (1995) 12, pp. 1892-1899
Persistent link: https://www.econbiz.de/10001196045
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Scaling up electric-vehicle battery swapping services in cities : a joint location and repairable-inventory model
Qi, Wei; Zhang, Yuli; Zhang, Ningwei - In: Management science : journal of the Institute for … 69 (2023) 11, pp. 6855-6875
Persistent link: https://www.econbiz.de/10014435424
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An approximation for credit portfolio losses
Frey, Rüdiger; Popp, Monika; Weber, Stefan - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 3-20
Persistent link: https://www.econbiz.de/10003745393