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Market risk management in a post-Basel II regulatory environment
Drenovak, Mikica; Ranković, Vladimir; Ivanković, Miloš; … - In: European journal of operational research : EJOR 257 (2017) 3, pp. 1030-1044
Persistent link: https://www.econbiz.de/10011641392
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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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Sovereign risk and the pricing of corporate credit default swaps
Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone - In: The journal of credit risk : published quarterly by … 11 (2015) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011298504
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A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
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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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Recovery swaps
Berd, Arthur M. - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. [61]-70
Persistent link: https://www.econbiz.de/10003198826
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Enhancing credit default swap valuation with meshfree methods
Guarin, Alexander; Liu, Xiaoquan; Wing Lon Ng - In: European journal of operational research : EJOR 214 (2011) 3, pp. 805-813
Persistent link: https://www.econbiz.de/10009316165
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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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Contagion in derivatives markets
Paddrik, Mark; Rajan, Sriram; Young, H. Peyton - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3603-3616
Persistent link: https://www.econbiz.de/10012289183