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Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
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Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo; Brigo, Damiano; Francischello, Marco; … - In: Quantitative finance 18 (2018) 1, pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
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Bayesian regularized artificial neural networks for the estimation of the probability of default
Sariev, Eduard; Germano, Guido - In: Quantitative finance 20 (2020) 2, pp. 311-328
Persistent link: https://www.econbiz.de/10012194868
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Predicting credit ratings and transition probabilities : a simple cumulative link model with firm-specific frailty
Hwang, Ruey-Ching; Chu, Chih-Kang; Chen, Yi-Chi - In: Quantitative finance 23 (2023) 1, pp. 149-168
Persistent link: https://www.econbiz.de/10013490962
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Predicting forward default probabilities of firms : a discrete-time forward hazard model with firm-specific frailty
Hwang, Ruey-Ching; Chen, Yi-Chi - In: Quantitative finance 24 (2024) 7, pp. 909-919
Persistent link: https://www.econbiz.de/10015050805
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A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang; Escobar, Marcos - In: Quantitative finance 23 (2023) 3, pp. 497-519
Persistent link: https://www.econbiz.de/10014232681
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Liquidity risk in derivatives valuation : an improved credit proxy method
Sourabh, Sumit; Hofer, Markus; Kandhai, Drona - In: Quantitative finance 18 (2018) 3, pp. 467-481
Persistent link: https://www.econbiz.de/10011906396
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Rating frailty, Bayesian updates, and portfolio credit risk analysis
Bu, Shang; Guo, Nan; Li, Lingfei - In: Quantitative finance 22 (2022) 4, pp. 777-797
Persistent link: https://www.econbiz.de/10013367859
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Variance swaps valuation under non-affine GARCH models and their diffusion limits
Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu - In: Quantitative finance 19 (2019) 2, pp. 227-246
Persistent link: https://www.econbiz.de/10012194650
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Weighted variance swaps hedge against impermanent loss
Fukasawa, Masaaki; Maire, Basile; Wunsch, Marcus - In: Quantitative finance 23 (2023) 6, pp. 901-911
Persistent link: https://www.econbiz.de/10014304393