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Analytical solutions for the expected loss of a collateralized loan : a square root intensity process negatively correlated with collateral value
Yamashita, Satoshi; Yoshiba, Toshinao - In: The journal of credit risk : published quarterly by … 9 (2013) 2, pp. 27-44
Persistent link: https://www.econbiz.de/10009781088
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Modeling joint default in correlation-sensitive instruments
Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of credit risk : published quarterly by … 12 (2016) 3, pp. 15-42
Persistent link: https://www.econbiz.de/10011642666
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Indicators of collateral misreporting
Demiroglu, Cem; James, Christopher M. - In: Management science : journal of the Institute for … 64 (2018) 4, pp. 1747-1760
Persistent link: https://www.econbiz.de/10011855732
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Default risk of money-market fund portfolios
Bansal, Matulya - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 43-71
Persistent link: https://www.econbiz.de/10011442549
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Treatment of double default effects within the granularity adjustment for Basel II
Ebert, Sebastian; Lütkebohmert-Holtz, Eva - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 3-33
Persistent link: https://www.econbiz.de/10009010639
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Optimal structuring of collateralized debt obligation contracts : an optimization approach
Veremyer, Alexander; Tsyurmasto, Peter; Uryasev, Stan - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 133-155
Persistent link: https://www.econbiz.de/10009700459
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Markov chain Monte Carlo estimation of default and recovery : dependent vial the latent systematic factor
Luo, Xiaolin; Shevchenko, Pavel V. - In: The journal of credit risk : published quarterly by … 9 (2013) 3, pp. 40-76
Persistent link: https://www.econbiz.de/10010239244
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An integrated model for hybrid securities
Das, Sanjiv R.; Sundaram, Rangarajan K. - In: Management science : journal of the Institute for … 53 (2007) 9, pp. 1439-1451
Persistent link: https://www.econbiz.de/10003563464
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CDO rating methodology : some thoughts on model risk and its implications
Fender, Ingo; Kiff, John - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. 37-58
Persistent link: https://www.econbiz.de/10003198815
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CDO pricing with factor models : survey and comments
Andersen, Leif B. G.; Sidenius, Jakob - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. [71]-88
Persistent link: https://www.econbiz.de/10003198839