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Pricing constant-maturity credit default swaps under jum dynamics
Jönsson, Henrik; Schoutens, Wim - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10003853300
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Credit value adjustment for credit default swaps via the structural default model
Lipton, Alexander; Sepp, Artur - In: The journal of credit risk : published quarterly by … 5 (2009/10) 2, pp. 127-150
Persistent link: https://www.econbiz.de/10003874116
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On the relationship between credit rating announcements and credit default swap spreads for European reference entities
Lehnert, Thorsten; Neske, Frederick - In: The journal of credit risk : published quarterly by … 2 (2006) 2, pp. 83-90
Persistent link: https://www.econbiz.de/10003390397
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Pricing kth-to-default swaps in a Lévy-time framework
Mai, Jan-Frederik; Scherer, Matthias - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 55-70
Persistent link: https://www.econbiz.de/10003903240
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The valuation of correlation-dependent credit derivatives using a structural model
Hull, John; Predescu, Mirela; White, Alan - In: The journal of credit risk : published quarterly by … 6 (2010/11) 3, pp. 99-132
Persistent link: https://www.econbiz.de/10008696412
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Analytical pricing of basket default swaps in a dynamic Hull-White framework
Vrins, Frédéric D. - In: The journal of credit risk : published quarterly by … 6 (2010/11) 4, pp. 85-111
Persistent link: https://www.econbiz.de/10008807729
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Credit-migration risk modeling
Andersson, Andreas; Vanini, Paolo - In: The journal of credit risk : published quarterly by … 6 (2010/11) 1, pp. 3-30
Persistent link: https://www.econbiz.de/10003965004
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An empirical implementation of CreditGrades
Yeh, Andy Jia-yuh - In: The journal of credit risk : published quarterly by … 6 (2010/11) 1, pp. 89-98
Persistent link: https://www.econbiz.de/10003965726
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A multiname first-passage model for credit risk
McLeish, Don L.; Metzler, Adam - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 35-64
Persistent link: https://www.econbiz.de/10009010630
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Credit default swap trees
Mahfoudhi, Ridha - In: The journal of credit risk : published quarterly by … 7 (2011/12) 3, pp. 3-37
Persistent link: https://www.econbiz.de/10009375166