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Mortality credits within large survivor funds

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Pricing kth-to-default swaps in a Lévy-time framework

Mai, Jan-Frederik; Scherer, Matthias - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 55-70

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Modeling the evolution of implied CDO correlations

Hofert, Marius; Scherer, Matthias; Zagst, Rudi - In: Financial markets and portfolio management 24 (2010) 3, pp. 289-308

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Cross asset portfolio derivatives

Höcht, Stephan; Scherer, Matthias; Seegerer, Philip - In: Alternative investments and strategies : credit, …, (pp. 175-197). 2010

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A tractable multivariate default model based on a stochastic time-change

Mai, Jan-Frederik; Scherer, Matthias - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 227-249

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A multivariate default model with spread and event risk

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Extremal dependence for bilateral credit valuation adjustments

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Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

Glau, Kathrin (ed.); Grbac, Zorana (ed.); … - Conference Innovations in Derivatives Markets - Fixed … - 2016

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: "Modeling counterparty credit...

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Selected topics in credit risk: Realistic modeling of correlations and new pricing approaches for credit products

Hüttner, Amelie Angelika - 2019

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