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A copula approach to value-at-risk estimation for fixed-income portfolios
Martellini, Lionel; Meyeredi, Jean-Christophe - In: The journal of fixed income 17 (2007) 1, pp. 5-15
Persistent link: https://www.econbiz.de/10003502367
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Integrating market and credit risk using a simplified frailty default correlation structure
Kuo, Cheng-kun; Lee, Chih-Wei - In: The journal of fixed income 17 (2007) 1, pp. 48-58
Persistent link: https://www.econbiz.de/10003502386
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Recovery assumptions in the valuation of credit derivatives
Delianedis, Gordon; Lagnado, Ronald - In: The journal of fixed income 11 (2001) 4, pp. 20-30
Persistent link: https://www.econbiz.de/10001701705