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A coupled Markov chain approach to credit risk modeling
Wozabal, David; Hochreiter, Ronald - In: Journal of economic dynamics & control 36 (2012) 3, pp. 403-415
Persistent link: https://www.econbiz.de/10009515963
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Credit risk and asymmetric information : a simplified approach
Lindset, Snorre; Lund, Arne-Christian; Persson, Svein-Arne - In: Journal of economic dynamics & control 39 (2014), pp. 98-112
Persistent link: https://www.econbiz.de/10010388826
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A boundary crossing model of counterparty risk
Esteghamat, Kian - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1771-1799
Persistent link: https://www.econbiz.de/10001755425
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Financial innovation and bank behavior : evidence from credit markets
Norden, Lars; Silva Buston, Consuelo; Wagner, Wolf - In: Journal of economic dynamics & control 43 (2014), pp. 130-145
Persistent link: https://www.econbiz.de/10010470135
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CDS Returns
Augustin, Patrick; Saleh, Fahad; Xu, Haohua - In: Journal of economic dynamics & control 118 (2020), pp. 1-27
Persistent link: https://www.econbiz.de/10012503412
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Do credit market shocks drive output fluctuations? : evidence from corporate spreads and defaults
Meeks, Roland - In: Journal of economic dynamics & control 36 (2012) 4, pp. 568-584
Persistent link: https://www.econbiz.de/10009554335
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Valuation of stock loans with jump risk
Cai, Ning; Sun, Lihua - In: Journal of economic dynamics & control 40 (2014), pp. 213-241
Persistent link: https://www.econbiz.de/10010424378
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Evaluation of counterparty risk for derivatives with early-exercise features
Breton, Michèle; Marzouk, Oussama - In: Journal of economic dynamics & control 88 (2018), pp. 1-20
Persistent link: https://www.econbiz.de/10011973914
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A hidden Markov model of credit quality
Korolkiewicz, Małgorzata W.; Elliott, Robert J. - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3807-3819
Persistent link: https://www.econbiz.de/10003804739
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Costly information transmission in continuous time with implications for credit rating announcements
Wang, Hefei - In: Journal of economic dynamics & control 36 (2012) 9, pp. 1402-1413
Persistent link: https://www.econbiz.de/10009655664