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Abdelghani, Mohamed N.; Melʹnikov, Aleksandr V. - In: Risks : open access journal 5 (2017) 4, pp. 1-21

on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …

Persistent link: https://www.econbiz.de/10011783347

Credit risk derivatives

Das, Sanjiv R. - In: The journal of derivatives : the official publication … 2 (1995) 3, pp. 7-23

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Contingent Claims and Hedging of Credit Risk with Equity Options

Avino, Davide E. - 2019

existing hedging methods aimed at neutralizing the loss following the occurrence of a credit event. We provide evidence that … North American firms. Based on in-sample estimates, hedging with options reduces portfolio volatility by an additional 13 …% relative to hedging with equity. We show that option hedge ratios capture option-specific credit exposure related to the VIX …

Persistent link: https://www.econbiz.de/10012899240

Speed-up credit exposure calculations for pricing and risk management

Glau, Kathrin; Pachón, Ricardo; Pötz, Christian - In: Quantitative finance 21 (2021) 3, pp. 481-499

Persistent link: https://www.econbiz.de/10012483835

Contingent claims and hedging of credit risk with equity options

Avino, Davide E.; Salvador, Enrique - In: Review of asset pricing studies : RAPS 14 (2024) 2, pp. 310-348

Persistent link: https://www.econbiz.de/10015046144

Pricing derivative credit risk

Ammann, Manuel - 1998

Persistent link: https://www.econbiz.de/10000674017

Are credit spreads too low or too high? : a hybrid barrier option approach for financial distress

Lin, William; Sun, David - In: The journal of futures markets 29 (2009) 12, pp. 1161-1189

Persistent link: https://www.econbiz.de/10003900991

Valuation of vulnerable American options with correlated credit risk

Chang, Lung-fu; Hung, Mao-Wei - In: Review of derivatives research 9 (2006) 2, pp. 137-165

Persistent link: https://www.econbiz.de/10003608132

Strategic loan modification : an options-based response to strategic default

Das, Sanjiv R.; Meadows, Ray - In: Journal of banking & finance 37 (2013) 2, pp. 636-647

Persistent link: https://www.econbiz.de/10009705609

A closed-form extension to the Black-Cox model

Alfonsi, Aurélien; Lelong, Jérôme - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-30

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