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Contingent credit default swaps: accurate and approximate pricing
Koziol, Christian; Schön, Thomas - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10011566278
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A copula approach to credit valuation adjustment for swaps under wrong-way risk
C̆erný, Jakub; Witzany, Jir̆í - In: The journal of credit risk : published quarterly by … 14 (2018) 1, pp. 31-43
Persistent link: https://www.econbiz.de/10011885459
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Default ambiguity : credit default swaps create new systemic risks in financial networks
Schuldenzucker, Steffen; Seuken, Sven; Battiston, Stefano - In: Management science : journal of the Institute for … 66 (2020) 5, pp. 1981-1998
Persistent link: https://www.econbiz.de/10012234741
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Counterparty risk and counterparty choice in the credit default swap market
Du, Wenxin; Gadgil, Salil; Gordy, Michael B.; Vega, Clara - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3808-3826
Persistent link: https://www.econbiz.de/10014552008
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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
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A framework for market, credit and transfer risk aggregation and stress testing
Farinelli, Simone - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 1-41
Persistent link: https://www.econbiz.de/10011566247
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A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default
Eckert, Johanna; Jakob, Kevin; Fischer, Matthias - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 97-119
Persistent link: https://www.econbiz.de/10011566295
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Review of credit risk and credit scoring models based on computing paradigms in financial institutions
Sharma, Deepika; Vashistha, Ashutosh; Gupta, Manoj K. - In: The journal of credit risk : published quarterly by … 17 (2021) 3, pp. 63-77
Persistent link: https://www.econbiz.de/10012816875
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Explaining credit ratings through a perpetual-debt structural model
Barone, Gaia - In: The journal of credit risk : published quarterly by … 17 (2021) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10012671409
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Contagious defaults in a credit portfolio : a Bayesian network approach
Anagnostou, Ioannis; Sanchez Rivero, Javier; Sourabh, Sumit - In: The journal of credit risk : published quarterly by … 16 (2020) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10012298963