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Pricing counterparty risk at the trade level and credit valuation adjustment allocations
Pykhtin, Michael; Rosen, Dan - In: The journal of credit risk : published quarterly by … 6 (2010/11) 4, pp. 3-38
Persistent link: https://www.econbiz.de/10008807742
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Granularity in a qualitative factor model
Gouriéroux, Christian; Monfort, Alain - In: The journal of credit risk : published quarterly by … 5 (2009/10) 4, pp. 29-61
Persistent link: https://www.econbiz.de/10003927492
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Rethinking the margin period of risk
Andersen, Leif B. G.; Pykhtin, Michael; Sokol, Alexander - In: The journal of credit risk : published quarterly by … 13 (2017) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10011670745
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Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
Kaposty, Florian; Löderbusch, Matthias; Maciag, Jakob - In: The journal of credit risk : published quarterly by … 13 (2017) 1, pp. 95-123
Persistent link: https://www.econbiz.de/10011670772
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The doble default value-of-the-firm model
Gouriéroux, Christian; Monfort, Alain - In: The journal of credit risk : published quarterly by … 12 (2016) 2, pp. 47-76
Persistent link: https://www.econbiz.de/10011597891
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A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Maciag, Jakob; Löderbusch, Matthias - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 37-74
Persistent link: https://www.econbiz.de/10012041612