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Evaluation of credit risk of a portfolio with stochastic interest rate and default processes
Kijima, Masaaki; Muromachi, Yukio - In: Innovations in risk management : seminal papers from …, (pp. 419-456). 2004
Persistent link: https://www.econbiz.de/10002600547
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Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio - In: Journal of risk 17 (2014/2015) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
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Monotonicities in a Markov chain model for valuing corporate bonds subject to credit risk
Kijima, Masaaki - In: Mathematical finance : an international journal of … 8 (1998) 3, pp. 229-247
Persistent link: https://www.econbiz.de/10001245921
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A Gaussian term structure model of credit spreads and valuation of credit spread options
Kijima, Masaaki - In: Kyoto University economic review : memoirs of the … 70 (2001) 1/2, pp. [13]-30
Persistent link: https://www.econbiz.de/10001681082