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The credit risk components of a swap portfolio
Hübner, Georges - In: The journal of futures markets 24 (2004) 1, pp. 93-115
Persistent link: https://www.econbiz.de/10001850816
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Special issue on credit risk and credit derivatives
Webb, Robert I. (contributor) - 2004
Persistent link: https://www.econbiz.de/10001850803
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Copula sensitivity in collateralized debt obligations and basket default swaps
Meneguzzo, Davide; Vecchiato, Walter - In: The journal of futures markets 24 (2004) 1, pp. 37-70
Persistent link: https://www.econbiz.de/10001850813
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The man in the middle-liquidity provision under central clearing in the credit default swap market : a regression discontinuity approach
Schönemann, Gregor - In: The journal of futures markets 42 (2022) 3, pp. 446-471
Persistent link: https://www.econbiz.de/10012817941
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Corporate credit default swap systematic factors
Chan, Ka Kei; Lin, Ming-Tsung; Lu, Qinye - In: The journal of futures markets 44 (2024) 7, pp. 1224-1256
Persistent link: https://www.econbiz.de/10014553983
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Credit default swaps and firm risk
Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
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An intergenerational cross-country swap
Padovani, Miret; Vanini, Paolo - 2009
economic development and with different long-term challenges. This 30-year-long swap is structured in such a way to capture the … today to pay for educational, technological, and other infrastructural services. To price the swap, we apply an exponential …
Persistent link: https://www.econbiz.de/10003970417
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Stable distributions, futures prices, and the measurement of trading performance
Cornew, Ronald W. - In: The journal of futures markets 4 (1984) 4, pp. 531-557
Persistent link: https://www.econbiz.de/10001082393
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Background filtrations and canonical loss processes for top-down models of portfolio credit risk
Ehlers, Philippe (contributor);  … - 2007
In single-obligor default risk modelling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as H-hypothesis or immersion property) has proven a very successful tool to separate the actual default event from the model for the default arrival...
Persistent link: https://www.econbiz.de/10003549840
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Valuing retail credit tranches with structural, double mixture models
Bae, Taehan; Iscoe, Ian; Kim, Changki - In: The journal of futures markets 35 (2015) 9, pp. 849-867
Persistent link: https://www.econbiz.de/10011392664