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A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds
Bielecki, Tomasz R.; Vidozzi, Andrea; Vidozzi, Luca - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 47-76
Persistent link: https://www.econbiz.de/10003745400
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The systematic and idiosyncratic modules of bankruptcy risk
Parnes, Dror - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 25-46
Persistent link: https://www.econbiz.de/10003853282
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Pricing counterparty risk at the trade level and credit valuation adjustment allocations
Pykhtin, Michael; Rosen, Dan - In: The journal of credit risk : published quarterly by … 6 (2010/11) 4, pp. 3-38
Persistent link: https://www.econbiz.de/10008807742
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Measuring and managing risk in innovative financial instruments
Turnbull, Stuart M. - In: The journal of credit risk : published quarterly by … 5 (2009/10) 2, pp. 87-114
Persistent link: https://www.econbiz.de/10003874111
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Selecting credit portfolios for collateralized loan obligation transactions : a heuristic algorithm
Westerfeld, Simone; Weber, Frithjof - In: The journal of credit risk : published quarterly by … 5 (2009/10) 4, pp. 65-82
Persistent link: https://www.econbiz.de/10003927494
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Credit-migration risk modeling
Andersson, Andreas; Vanini, Paolo - In: The journal of credit risk : published quarterly by … 6 (2010/11) 1, pp. 3-30
Persistent link: https://www.econbiz.de/10003965004
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A generalized credit value adjustment
Kjaer, Mats - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 65-92
Persistent link: https://www.econbiz.de/10009010628
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Market pricing of credit-linked notes : the case of structured products in Germany
Rathgeber, Andreas W.; Wang, Yun - In: The journal of credit risk : published quarterly by … 7 (2011/12) 4, pp. 73-101
Persistent link: https://www.econbiz.de/10009424788
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The relationship between counterparty default and interest rate volatility and its impact on the credit risk of interest rate derivatives
Harris, Geoffrey R.; Wu, Tao L.; Yang, Jiarui - In: The journal of credit risk : published quarterly by … 11 (2015) 1, pp. 93-127
Persistent link: https://www.econbiz.de/10011298489
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451