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Counterparty risk for CDS : default clustering effects
Bo, Lijun; Capponi, Agostino - In: Journal of banking & finance 52 (2015), pp. 29-42
Persistent link: https://www.econbiz.de/10011377294
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Mortgage defaults
Hatchondo, Juan Carlos; Martinez, Leonardo; Sanchez, Juan M. - 2015
Persistent link: https://www.econbiz.de/10011449821
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Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun; Capponi, Agostino - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 785-834
Persistent link: https://www.econbiz.de/10011583805
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Mortgage defaults
Hatchondo, Juan Carlos; Martinez, Leonardo; Sanchez, Juan M. - In: Journal of monetary economics 76 (2015), pp. 173-190
Persistent link: https://www.econbiz.de/10011569797
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Risk-sensitive asset management and cascading defaults
Birge, John R.; Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 43 (2018) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011818644
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An empirical analysis of bond recovery rates : exploring a stuctural view of default
Covitz, Daniel M.; Han, Song - 2005
Persistent link: https://www.econbiz.de/10002634054
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Creditor learning and discrimination in lending
Han, Song - In: Journal of financial services research : JFSR 40 (2011) 1/2, pp. 1-27
Persistent link: https://www.econbiz.de/10009309814
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Informed bond trading, corporate yield spreads, and corporate default prediction
Han, Song; Zhou, Xing - In: Management science : journal of the Institute for … 60 (2014) 3, pp. 675-694
Persistent link: https://www.econbiz.de/10010347894
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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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Pricing vulnerable claims in a Lévy-driven model
Capponi, Agostino; Pagliarani, Stefano; Vargiolu, Tiziano - In: Finance and stochastics 18 (2014) 4, pp. 755-789
Persistent link: https://www.econbiz.de/10010413669