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Derivatives and systemic risk : netting, collateral, and closeout
Bliss, Robert R.; Kaufman, George G. - In: Journal of financial stability 2 (2006) 1, pp. 55-70
Persistent link: https://www.econbiz.de/10003779115
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Correlated default modeling with a forest of binomial trees
Bandreddi, Santhosh; Das, Sanjiv R.; Fan, Rong - In: The journal of fixed income 17 (2007) 3, pp. 38-56
Persistent link: https://www.econbiz.de/10003687357
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Too big to fail in banking : what does it mean?
Kaufman, George G. - In: Journal of financial stability 13 (2014), pp. 214-223
Persistent link: https://www.econbiz.de/10011289517
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Correlated default risk
Das, Sanjiv R.; Freed, Laurance; Geng, Gary; Kapadia, Nikunj - In: The journal of fixed income 16 (2006) 2, pp. 7-32
Persistent link: https://www.econbiz.de/10003400058
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Impact of correlated default risk on credit portfolios
Das, Sanjiv R.; Fong, H. Gifford; Geng, Gary - In: The journal of fixed income 11 (2001) 3, pp. 9-19
Persistent link: https://www.econbiz.de/10001706056
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Bayesian migration in credit ratings based on probabilities of default
Das, Sanjiv R.; Fan, Rong; Geng, Gary - In: The journal of fixed income 12 (2002) 3, pp. 17-23
Persistent link: https://www.econbiz.de/10001763884
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Going for broke : restructuring distressed debt portfolios
Das, Sanjiv R.; Kim, Seoyoung - In: The journal of fixed income 24 (2014) 1, pp. 5-27
Persistent link: https://www.econbiz.de/10011293048
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You can work it out! : valuation and recovery of private debt with a renegotiable default threshold
Hasan, Majid; Blanc-Brude, Frédéric - In: The journal of fixed income 26 (2017) 4, pp. 113-127
Persistent link: https://www.econbiz.de/10011684776
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A structural model of credit risk for illiquid debt
Blanc-Brude, Frédéric; Hasan, Majid - In: The journal of fixed income 26 (2016) 1, pp. 6-19
Persistent link: https://www.econbiz.de/10011660746