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The size effect and default risk : evidence from the Vietnamese stock market

Le Quy Duong; Bertrand, Philippe - In: Review of financial economics : RFE 40 (2022) 4, pp. 377-388

Persistent link: https://www.econbiz.de/10013461475

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

Persistent link: https://www.econbiz.de/10008668595

Valuation of reverse mortgages under (limited) default risk

Kolbe, Andreas; Zagst, Rudi - In: The European journal of finance 16 (2010) 3/4, pp. 305-327

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Asset allocation with credit instruments

Menzinger, Barbara; Schlösser, Anna; Zagst, Rudi - In: Alternative investments and strategies : credit, …, (pp. 147-173). 2010

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Pricing certificates under issuer risk

Götz, Barbara; Zagst, Rudi; Escobar, Marcos - In: Alternative investments and strategies : credit, …, (pp. 123-146). 2010

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The crash-NIG copula model : risk measurement and management of credit portfolios

Schlösser, Anna; Zagst, Rudi - In: Journal of risk management in financial institutions 4 (2010/11) 4, pp. 392-418

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Impact of factor models on portfolio risk measures : a structural approach

Escobar, Marcos; Frielingsdorf, Tobias; Zagst, Rudi - In: The journal of credit risk : published quarterly by … 8 (2012) 2, pp. 47-79

Persistent link: https://www.econbiz.de/10009673647

Empirical evaluation of hybrid defaultable bond pricing models

Antes, S.; Ilg, M.; Schmid, Beat; Zagst, Rudi - In: Applied mathematical finance 15 (2008) 3/4, pp. 219-249

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A Three-factor defaultable term structure model

Schmid, Bernd; Zagst, Rudi - In: The journal of fixed income 10 (2000) 2, pp. 63-79

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Modeling the Evolution of Implied CDO Correlations

Hofert, Marius - 2010

CDO tranche spreads (and prices of related portfolio-credit derivatives) depend on the market's perception of the future loss distribution of the underlying credit portfolio. Applying Sklar's seminal decomposition to the distribution of the vector of default times, the portfolio-loss...

Persistent link: https://www.econbiz.de/10013138603