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Active loan trading
Fabozzi, Frank J.; Klingler, Sven; Mølgaard, Pia; … - In: Journal of financial intermediation 46 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012818064
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Credit default swaps valuation
Chen, Ren-Raw; Fabozzi, Frank J.; O'Kane, Dominic - 2008
Persistent link: https://www.econbiz.de/10003765787
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Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
Russo, Vincenzo; Lagasio, Valentina; Brogi, Marina; … - In: Annals of finance 16 (2020) 1, pp. 141-157
Persistent link: https://www.econbiz.de/10012495982
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On some inconsistencies in modeling credit portfolio products
Fabozzi, Frank J.; Tunaru, Radu - In: International journal of theoretical and applied finance 10 (2007) 8, pp. 1305-1321
Persistent link: https://www.econbiz.de/10003632081
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Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
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The ICA-based factor decomposition of the Eurozone sovereign CDS spreads
Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - 2015
Persistent link: https://www.econbiz.de/10011375946
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CDS implied credit ratings
Jansen, Jeroen; Fabozzi, Frank J. - In: The journal of fixed income 26 (2017) 4, pp. 25-52
Persistent link: https://www.econbiz.de/10011684760
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Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen; Das, Sanjiv R.; Fabozzi, Frank J. - In: Journal of economic dynamics & control 92 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
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Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 16 (2009) 2, pp. 201-215
Persistent link: https://www.econbiz.de/10003839259
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Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions
Papenbrock, Jochen; Račev, Svetlozar T.; … - In: Applied financial economics 19 (2009) 16/18, pp. 1401-1416
The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity … and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio … credit risk models can be calibrated. Integrated risk management for correlation dependent credit derivatives, such as single …
Persistent link: https://www.econbiz.de/10003886215