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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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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
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A robust decision support approach to portfolio risk reduction based on credit default swap
Wu, Dexiang; Wu, Desheng Dash - In: The journal of fixed income 27 (2018) 3, pp. 86-95
Persistent link: https://www.econbiz.de/10011803854