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A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds
Bielecki, Tomasz R.; Vidozzi, Andrea; Vidozzi, Luca - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 47-76
Persistent link: https://www.econbiz.de/10003745400
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Pricing synthetic CDO tranches in a model with default contagion using the matrix analytic approach
Herbertsson, Alexander - In: The journal of credit risk : published quarterly by … 4 (2008/09) 4, pp. 2-35
Persistent link: https://www.econbiz.de/10003806412
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The systematic and idiosyncratic modules of bankruptcy risk
Parnes, Dror - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 25-46
Persistent link: https://www.econbiz.de/10003853282
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An introduction to pricing correlation products using a pair-wise correlation matrix
Whitehill, Sam - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 97-110
Persistent link: https://www.econbiz.de/10003853302
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Valuing CDOs of bespoke portfolios with implied multi-factor models
Rosen, Dan; Saunders, David M. - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 3-36
Persistent link: https://www.econbiz.de/10003903232
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CDO pricing with expected loss parametric interpolation
Bernis, Guillaume - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 71-87
Persistent link: https://www.econbiz.de/10003903244
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Double-t copula pricing structured credit products : practical aspects of a trustworthy implementation
Vrins, Frédéric D. - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 91-109
Persistent link: https://www.econbiz.de/10003903249
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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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The credit crunch of 2007 : what went wrong? ; why? ; what lessons can be learned?
Hull, John - In: The journal of credit risk : published quarterly by … 5 (2009/10) 2, pp. 3-18
Persistent link: https://www.econbiz.de/10003874101
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Measuring and managing risk in innovative financial instruments
Turnbull, Stuart M. - In: The journal of credit risk : published quarterly by … 5 (2009/10) 2, pp. 87-114
Persistent link: https://www.econbiz.de/10003874111