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Sovereign risk and the pricing of corporate credit default swaps
Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone - In: The journal of credit risk : published quarterly by … 11 (2015) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011298504
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Selecting credit portfolios for collateralized loan obligation transactions : a heuristic algorithm
Westerfeld, Simone; Weber, Frithjof - In: The journal of credit risk : published quarterly by … 5 (2009/10) 4, pp. 65-82
Persistent link: https://www.econbiz.de/10003927494
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The impact of counterparty risk on credit default swap pricing dynamics
Morkoetter, Stefan; Pleus, Johanna; Westerfeld, Simone - In: The journal of credit risk : published quarterly by … 8 (2012) 1, pp. 63-88
Persistent link: https://www.econbiz.de/10009539242
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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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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