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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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IFRS 9 compliant economic adjustment of expected credit loss modeling
Gubareva, Mariya - In: The journal of credit risk : published quarterly by … 16 (2020) 2, pp. 29-66
Persistent link: https://www.econbiz.de/10012298993
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Creditwatches and their impact on financial markets
Kiesel, Florian - In: The journal of credit risk : published quarterly by … 13 (2017) 1, pp. 47-71
Persistent link: https://www.econbiz.de/10011670750
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An efficient portfolio loss model
Fenger, Christian - In: The journal of credit risk : published quarterly by … 15 (2019) 3, pp. 21-39
Persistent link: https://www.econbiz.de/10012121560
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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
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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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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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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