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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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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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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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Recovery swaps
Berd, Arthur M. - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. [61]-70
Persistent link: https://www.econbiz.de/10003198826
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A copula approach to credit valuation adjustment for swaps under wrong-way risk
C̆erný, Jakub; Witzany, Jir̆í - In: The journal of credit risk : published quarterly by … 14 (2018) 1, pp. 31-43
Persistent link: https://www.econbiz.de/10011885459
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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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The art of probability-of-default curve calibration
Tasche, Dirk - In: The journal of credit risk : published quarterly by … 9 (2013/14) 4, pp. 63-103
Persistent link: https://www.econbiz.de/10010233807
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Valuation differences between credit default swap and corporate bond markets
Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: The journal of credit risk : published quarterly by … 9 (2013/14) 4, pp. 3-46
Persistent link: https://www.econbiz.de/10010233818