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The signalling properties of the shape of the credit default swap term structure
Castellanos, Jenny; Constantinou, Nick; Wing Lon Ng - In: Journal of risk 17 (2014/2015) 4, pp. 71-99
Persistent link: https://www.econbiz.de/10013262935
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Monte Carlo market Greeks in the displaced diffusion Libor market model
Joshi, Mark S.; Kwon, Oh Kang - In: Journal of risk 14 (2011/12) 2, pp. 23-37
Persistent link: https://www.econbiz.de/10009422363
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Future portfolio returns and the VIX term structure
Aharon, David Yechiam; Dimpfl, Thomas - In: Journal of risk 24 (2022) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10014546348
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Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options
Henrard, Marc - In: Journal of risk 9 (2006/07) 4, pp. 95-116
Persistent link: https://www.econbiz.de/10003502689
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Efficient pricing and Greeks in the cross-currency LIBOR market model
Beveridge, Chris J.; Joshi, Mark S.; Wright, Will M. - In: Journal of risk 14 (2011/12) 4, pp. 65-113
Persistent link: https://www.econbiz.de/10009571595
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The valuation of credit default swaps including investor-counterplay-reference entity default correlation
Meissner, Gunter; Mesarch, Dallyn; Olkov, Alexey - In: Journal of risk 16 (2013) 2, pp. 61-79
Persistent link: https://www.econbiz.de/10010237928
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The bond-stock yield differential as a risk indicator in financial markets
Consigli, Giorgio; MacLean, Leonard C.; Zhao, Yonggan; … - In: Journal of risk 11 (2008/09) 3, pp. 3-24
Persistent link: https://www.econbiz.de/10003844341
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Optimal hedging of funding liquidity risk
Chen, Wei; Skoglund, Jimmy - In: Journal of risk 16 (2013/2014) 3, pp. 85-111
Persistent link: https://www.econbiz.de/10013262925
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An enterprise perspective of performance attribution : introducing the keel model
Brooks, Robert - In: Journal of risk 20 (2017/2018) 2, pp. 53-84
Persistent link: https://www.econbiz.de/10013262949
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The impact of compounding on bond pricing with alternative reference rates
Cziráky, Dario; Ponikvar, Ana - In: Journal of risk 23 (2021) 6, pp. 37-66
Persistent link: https://www.econbiz.de/10013473138