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Static hedging of defaultable contingent claims : a simple hedging scheme across equity and credit markets
Ohsaki, Shuichi; Yamazaki, Akira - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 239-264
Persistent link: https://www.econbiz.de/10008992168
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Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model
Walker, Michael B. - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 633-662
Persistent link: https://www.econbiz.de/10003899505
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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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On some inconsistencies in modeling credit portfolio products
Fabozzi, Frank J.; Tunaru, Radu - In: International journal of theoretical and applied finance 10 (2007) 8, pp. 1305-1321
Persistent link: https://www.econbiz.de/10003632081
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A new framework for dynamic credit portfolio loss modelling
Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif B. G. - In: International journal of theoretical and applied finance 11 (2008) 2, pp. 163-197
Persistent link: https://www.econbiz.de/10003703072
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Special issue on credit correlation : life after copulas
Lipton, Alexander (contributor) - 2007
Persistent link: https://www.econbiz.de/10003503331
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Large portfolio credit risk modeling
Davis, Mark H.; Esparragoza-Rodriguez, Juan Carlos - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 653-678
Persistent link: https://www.econbiz.de/10003503358
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Empirical copulas for CDO trance pricing using relative entropy
Dempster, Michael A. H.; Medova, Elena A.; Yang, Seung W. - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 679-701
Persistent link: https://www.econbiz.de/10003503370
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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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Information and optimal investment in defaultable assets
Di Nunno, Giulia; Sjursen, Steffen - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-27
Persistent link: https://www.econbiz.de/10010498826