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Dynamic portfolio optimization with a defaultable security and regime-switching
Capponi, Agostino; Figueroa-López, José E. - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 207-249
Persistent link: https://www.econbiz.de/10010357378
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A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
Dong, Juan; Korobenko, Lyudmila; Sezer, A. Deniz - In: Quantitative finance 20 (2020) 3, pp. 483-497
Persistent link: https://www.econbiz.de/10012194903
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Dynamic credit investment in partially observed markets
Capponi, Agostino; Figueroa-López, José E.; Pascucci, … - In: Finance and stochastics 19 (2015) 4, pp. 891-939
Persistent link: https://www.econbiz.de/10011421091
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Correlated defaults, incomplete information, and the term structure of credit spreads
Giesecke, Kay (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001639703
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Correlated defaults, incomplete information, and the term structure of credit spreads
Giesecke, Kay - 2001
Persistent link: https://www.econbiz.de/10001646775
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A network model for central counterparty liquidity risk stress testing under incomplete information
Wong, Max Chan Yue; Pei, Patrick Ge; Yee, Lam Xin - In: The journal of financial market infrastructures 5 (2017) 3, pp. 25-55
Persistent link: https://www.econbiz.de/10011673769
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Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
Capponi, Agostino; Figueroa-López, José E.; Nisen, Jeffrey - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 250-288
Persistent link: https://www.econbiz.de/10010357375
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On the credit risk of secured loans with maximum loan-to-value covenants
Astic, Fabian; Tourin, Agnès - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-19
Persistent link: https://www.econbiz.de/10010498789
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Austerity
Ntellas, Charēs; Niepelt, Dirk - 2014
We shed light on the function, properties and optimal size of austerity using the standard sovereign debt model augmented to include incomplete information about credit risk. Austerity is defined as the shortfall of consumption from the level desired by a country and supported by its repayment...
Persistent link: https://www.econbiz.de/10010468584
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Austerity
Ntellas, Charēs; Niepelt, Dirk - 2014
We shed light on the function, properties and optimal size of austerity using the standard sovereign debt model augmented to include incomplete information about credit risk. Austerity is defined as the shortfall of consumption from the level desired by a country and supported by its repayment...
Persistent link: https://www.econbiz.de/10010494118