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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Swiss Finance Institute Research Paper"
~isPartOf:"The journal of futures markets"
~isPartOf:"Wiley finance"
~subject:"Derivat"
~type:"article"
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A Simple Credit Risk Model wit...
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Brigo, Damiano
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International journal of theoretical and applied finance
Swiss Finance Institute Research Paper
The journal of futures markets
Wiley finance
Journal of banking & finance
49
The journal of fixed income
23
European journal of operational research : EJOR
21
Review of derivatives research
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The journal of credit risk : published quarterly by Incisive Media
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Journal of financial economics
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The North American journal of economics and finance : a journal of financial economics studies
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Applied mathematical finance
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Finance and stochastics
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The journal of computational finance
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International review of financial analysis
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The European journal of finance
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Finance research letters
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International review of economics & finance : IREF
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Energy economics
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Journal of risk management in financial institutions
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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International journal of financial engineering
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Journal of mathematical finance
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The journal of financial market infrastructures
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The journal of derivatives : JOD
10
Advances in futures and options research : a research annual
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Economic modelling
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Journal of empirical finance
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Journal of financial and quantitative analysis : JFQA
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Risks : open access journal
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The credit derivatives handbook : global perspectives, innovations, and market drivers
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The journal of finance : the journal of the American Finance Association
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Asia-Pacific financial markets
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Computational economics
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Credit derivatives : the definitive guide
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Insurance / Mathematics & economics
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Journal of financial intermediation
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ECONIS (ZBW)
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1
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
2
Counterparty risk and funding : the four wings of the TVA
Crépey, Stéphane
;
Gerboud, Rémi
;
Grbac, Zorana
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009748728
Saved in:
3
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Saved in:
4
Modelling the bid and ask prices of illiquid CDSs
Walker, Michael B.
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009672590
Saved in:
5
An implied volatility model determined by credit default swaps
Heider, Pascal
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
Saved in:
6
Copula sensitivity in collateralized debt obligations and basket default swaps
Meneguzzo, Davide
;
Vecchiato, Walter
- In:
The journal of futures markets
24
(
2004
)
1
,
pp. 37-70
Persistent link: https://www.econbiz.de/10001850813
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7
The man in the middle-liquidity provision under central clearing in the credit default
swap
market : a regression discontinuity approach
Schönemann, Gregor
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 446-471
Persistent link: https://www.econbiz.de/10012817941
Saved in:
8
From bid-ask credit default
swap
quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo
;
Khedher, Asma
;
Spreij, Peter
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
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9
Counterparty risk for Credit Default
Swap
with states related default intensity processes
Tang, Dan
;
Wang, Yongjin
;
Zhou, Yuzhen
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1335-1353
Persistent link: https://www.econbiz.de/10009541993
Saved in:
10
Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012270908
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