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A general framework for time-changed Markov processes and applications
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 273 (2019) 2, pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
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Prepayment option of a perpetual corporate loan : the impact of the funding costs
Papin, Timothee; Turinici, Gabriel - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10010391495
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Vulnerable options with regime switching and stochastic liquidity
He, Xin-Jiang; Pasricha, Puneet; Lu, Tuantuan; Lin, Sha - In: The quarterly review of economics and finance 98 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10015188648
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Default probability estimation via pair copula constructions
Dalla Valle, Luciana; De Giuli, Maria Elena; Tarantola, … - In: European journal of operational research : EJOR 249 (2016) 1, pp. 298-311
Persistent link: https://www.econbiz.de/10011435851
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A robust method to retrieve option implied risk neutral densities for defaultable assets
Leduc, Guillaume; Orosi, Greg - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 212-224
Persistent link: https://www.econbiz.de/10011742316
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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
Persistent link: https://www.econbiz.de/10009706338
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On the pricing of vulnerable Parisian options
Liu, Zheng; Li, Dongchen; Qian, Linyi; Yao, Jing - In: Finance research letters 68 (2024), pp. 1-12
Persistent link: https://www.econbiz.de/10015063624
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Robust and consistent estimation of generators in credit risk
Reis, Gonçalo dos; Smith, Greig - In: Quantitative finance 18 (2018) 6, pp. 983-1001
Persistent link: https://www.econbiz.de/10011911257
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A risk-sensitive approach for stressed transition probability matrixes
Perilioglu, Ahmet; Perilioglu, Karina; Tuysuz, Sukriye - In: The journal of risk model validation 12 (2018) 3, pp. 51-74
Persistent link: https://www.econbiz.de/10011991970
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Kolmogorov-Smirnov-type testing for the partial homogeneity of Markov processes : with application to credit risk
Weißbach, Rafael (contributor); Dette, Holger (contributor) - 2005
In banking the default behavior of the counterpart is of interest not only for the pricing of transactions under credit risk but also for the assessment of portfolio credit risk. We develop a test against the hypothesis that default intensities are constant over time within a homogeneous group...
Persistent link: https://www.econbiz.de/10003308927