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Estimation of correlations in portfolio credit risk models based on noisy security prices
Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Journal of economic dynamics & control 61 (2015), pp. 334-349
Persistent link: https://www.econbiz.de/10011589542
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Contagion effect on bond portfolio risk measures in a hybrid credit risk model
Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Finance research letters 11 (2014) 2, pp. 131-139
Persistent link: https://www.econbiz.de/10010441202
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Recovery rate risk and credit spreads in a hybrid credit risk model
Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: The journal of credit risk : published quarterly by … 9 (2013) 3, pp. 3-39
Persistent link: https://www.econbiz.de/10010239245
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Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model
Gauthier, Geneviève - 2012
This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger, while keeping the capital structure intact. This produces random recovery rates negatively correlated with the default probability. The approach is implemented on a...
Persistent link: https://www.econbiz.de/10013101883