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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - 2014
default time is represented by a Gaussian copula with constant correlation coefficient. Finally, the results of the semi …
Persistent link: https://www.econbiz.de/10010358352
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A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
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A Libor market model with default risk
Schönbucher, Philipp J. - 2000 - This version December 2000
In this paper a new credit risk model for credit derivatives is presented. The model is based upon the Libor market modelling framework for default-free interest rates. We model effective default-free forward rates and effective forward credit spreads as lognormal diffusion processes, and...
Persistent link: https://www.econbiz.de/10011539796
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Pricing credit default swap under fractional Vasicek interest rate model
Hao, Ruili; Liu, Yonghui; Wang, Shoubai - In: Journal of mathematical finance 4 (2014) 1, pp. 10-20
Persistent link: https://www.econbiz.de/10010422093
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A Libor market model with default risk
Schönbucher, Philipp J. - 2001
Persistent link: https://www.econbiz.de/10001598736
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Zinsswaps und ausfallriskante Anleihen in Deutschland
Metzner, Günther - 2001
Persistent link: https://www.econbiz.de/10001615568
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Valuation of a credit default swap: the stable non-Gaussian versus the Gaussian approach
D'Souza, Dylan; Amir-Atefi, Keyvan; Racheva-Jotova, Borjana - In: Credit risk : measurement, evaluation and management ; …, (pp. 49-84). 2003
Persistent link: https://www.econbiz.de/10002001435
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Aspects of term structure modelling : implementation and default risk
Schlögl, Lutz - 2001
Persistent link: https://www.econbiz.de/10001576732
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Credit risk modelling and credit derivatives
Schönbucher, Philipp Johannes - 2000
Persistent link: https://www.econbiz.de/10001449548