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Time series models for credit default swap premiums
Eifert, Márton - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 21-44
Persistent link: https://www.econbiz.de/10011380101
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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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Modeling credit spreads with the Cheyette model and its application to credit default swaptions
Natcheva-Acar, Kalina; Acar, Sarp Kaya; Krekel, Martin - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 47-71
Persistent link: https://www.econbiz.de/10009518037
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From actual to risk-neutral default probabilities : Merton and beyond
Berg, Tobias - In: The journal of credit risk : published quarterly by … 6 (2010/11) 1, pp. 55-86
Persistent link: https://www.econbiz.de/10003965724
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The robustness of estimatiors in structural credit loss distributions
Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 67-97
Persistent link: https://www.econbiz.de/10011298505
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Risk analysis probability of default : a stochastic simulation model
Montesi, Giuseppe; Papiro, Giovanni - In: The journal of credit risk : published quarterly by … 10 (2014) 3, pp. 29-86
Persistent link: https://www.econbiz.de/10010426467
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On probability of default and its relation to observed default frequency and a common factor
Oeyen, Brent; Celis, Oliver Salazar - In: The journal of credit risk : published quarterly by … 15 (2019) 3, pp. 41-66
Persistent link: https://www.econbiz.de/10012121563
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Calibration alternatives to logistic regression and their potential for transferring the statistical dispersion of discriminatory power into uncertainties in probabilities of defau...
Wosnitza, Jan Henrik - In: The journal of credit risk : published quarterly by … 19 (2023) 1, pp. 75-103
Persistent link: https://www.econbiz.de/10014488513
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An approximation for credit portfolio losses
Frey, Rüdiger; Popp, Monika; Weber, Stefan - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 3-20
Persistent link: https://www.econbiz.de/10003745393
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Pricing kth-to-default swaps in a Lévy-time framework
Mai, Jan-Frederik; Scherer, Matthias - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 55-70
Persistent link: https://www.econbiz.de/10003903240