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Asset pricing and default risk
Breig, Christoph - 2011
Persistent link: https://www.econbiz.de/10008779050
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Pricing and Liquidity of Complex and Structured Derivatives : Deviation of a Risk Benchmark Based on Credit and Option Market Data
Schmidt, Mathias - 2016
This book introduces the “strike of default” (SOD) benchmark concept. The author determines the SOD through cross-sectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine the implied probability of default from both...
Persistent link: https://www.econbiz.de/10012397112
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Credit portfolio risk and asset price cycles
Rheinberger, Klaus; Summer, Martin - In: Computational Management Science : CMS 5 (2008) 4, pp. 337-354
Persistent link: https://www.econbiz.de/10003758297
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The pricing of portfolio credit risk
Tarashev, Nikola A.; Zhu, Haibin - 2006
Persistent link: https://www.econbiz.de/10003376553
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Lévy processes for the valuation of CDO tranches
Moosbrucker, Thomas - In: The definitive guide to CDOs : market, application, …, (pp. 293-318). 2008
Persistent link: https://www.econbiz.de/10003918723
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BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
Arnsdorf, Matthias; Halperin, Igor - In: The journal of computational finance 12 (2008/09) 2, pp. 77-107
Persistent link: https://www.econbiz.de/10009534630
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An analytical approach for systematic risk sensitivity of structured finance products
Claußen, Arndt; Löhr, Sebastian; Rösch, Daniel - In: Review of derivatives research 17 (2014) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10010519296
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Debt collateralization and maximal leverage
Gong, Feixue; Phelan, Gregory - 2015
Persistent link: https://www.econbiz.de/10011333092
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Collateralized borrowing and increasing risk
Phelan, Gregory - 2015
Persistent link: https://www.econbiz.de/10011333118
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Is default risk the hidden factor in mementum returns? : some empirical results
Abinzano, Isabel; Muga, Luis; Santamaría Aquilué, Rafael - In: Accounting and finance : journal of the Accounting … 54 (2014) 3, pp. 671-698
Persistent link: https://www.econbiz.de/10011348098