Narrow search
Showing 1 - 4 of 4
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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