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A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
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An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping; Krehbiel, Timothy L. - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-29
Persistent link: https://www.econbiz.de/10011525108
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On the calculation of risk measures using least-squares Monte Carlo
Benedetti, Giuseppe - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10011686897
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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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Particle methods for the estimation of credit portfolio loss distributions
Carmona, René; Crépey, Stéphane - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 577-602
Persistent link: https://www.econbiz.de/10008905024
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A remark concerning Value-at-Risk
Novak, Serguei Y. - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 507-515
Persistent link: https://www.econbiz.de/10008905058
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The VAR at risk
Galichon, Alfred - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 503-506
Persistent link: https://www.econbiz.de/10008905066
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Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10009748714
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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
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A note on the double impact on CVA for CDS : wrong-way risk with stochastic recovery
Li, Hui - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10009756066