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The economic foundations of risk management : theory, practice, and applications

Jarrow, Robert A. - 2017

Persistent link: https://www.econbiz.de/10011569703

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

Valuing default swaps under market and credit risk correlation

Jarrow, Robert A.; Yildirim, Yildiray - In: The journal of fixed income 11 (2001) 4, pp. 7-19

Persistent link: https://www.econbiz.de/10001701698

Credit Default Swaps Liquidity Modeling : A Survey

Brigo, Damiano - 2011

We review different theoretical and empirical approaches for measuring the impact of liquidity on CDS prices. We start by reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi and Sverdlove (2008) and Buhler and Trapp (2006, 2008), adopting different...

Persistent link: https://www.econbiz.de/10013133848

Discretely sampled variance and volatility swaps versus their continuous approximations

Jarrow, Robert A.; Kchia, Younes; Larsson, Martin; … - In: Finance and stochastics 17 (2013) 2, pp. 305-324

Persistent link: https://www.econbiz.de/10009730815

Synthetic CDO equity : short or long correlation risk?

Jarrow, Robert A.; Deventer, Donald R. van - In: The journal of fixed income 17 (2007) 4, pp. 31-41

Persistent link: https://www.econbiz.de/10003729808

Financial derivatives pricing : selected works of Robert Jarrow

Jarrow, Robert A. - 2008

Persistent link: https://www.econbiz.de/10003765886

The subprime credit crisis of 2007

Crouhy, Michel; Jarrow, Robert A.; Turnbull, Stuart M. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 81-110

Persistent link: https://www.econbiz.de/10003771466

Estimating default probabilities implicit in equity prices

Janosi, Tibor; Jarrow, Robert A.; Yildirim, Yildiray - In: The credit market handbook : advanced modeling issues, (pp. 1-38). 2006

Persistent link: https://www.econbiz.de/10003338037

Distressed debt prices and recovery rate estimation

Guo, Xin; Jarrow, Robert A.; Lin, Haizhi - In: Review of derivatives research 11 (2008) 3, pp. 171-204

Persistent link: https://www.econbiz.de/10003835030

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