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Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
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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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Pricing equations in jump-to-default models
Dyrssen, Hannah; Ekström, Erik; Tysk, Johan - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-13
Persistent link: https://www.econbiz.de/10010364757
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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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Justification of per-unit risk capital allocation in portfolio credit risk models
Dorfleitner, Gregor; Pfister, Tamara - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-29
Persistent link: https://www.econbiz.de/10010438509
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Utility maximization with random horizon : a BSDE approach
Jeanblanc, Monique; Mastrolia, Thibaut; Possamai͏̈, Dylan - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-43
Persistent link: https://www.econbiz.de/10011404177
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Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
Okhrati, Ramin; Karpathopoulos, Nikolaos - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-41
Persistent link: https://www.econbiz.de/10012807897
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Behavioral value adjustements
Bissiri, Matteo; Cogo, Riccardo - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-37
Persistent link: https://www.econbiz.de/10011787404
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Statistical estimation of optimal portfolios for locally stationary returns of assets
Shiraishi, Hiroshi; Taniguchi, Masanobu - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 129-154
Persistent link: https://www.econbiz.de/10003415741
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An empirical study on the statistical properties of Romanian emerging stock market RASDAQ
Gligor, Mircea - In: International journal of theoretical and applied finance 7 (2004) 6, pp. 723-739
Persistent link: https://www.econbiz.de/10002200662