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Bayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates
Ando, Tomohiro - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 454-465
Persistent link: https://www.econbiz.de/10010251681
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Pricing Residential Real Estate Derivatives
Richter, Mark - 2015
This article, which is primarily didactic in nature, provides basic intuition on asset pricing and risk-neutral valuation with a specific focus on residential real estate. I look into the pricing of physical real estate and two variations of derivative. I derive some specific valuation formulas...
Persistent link: https://www.econbiz.de/10013014791
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Point-in-time probability of default term structure models for multiperiod scenario loss projection
Yang, Bill Huajian - In: The journal of risk model validation 11 (2017) 1, pp. 73-94
Persistent link: https://www.econbiz.de/10011671182
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Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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Structural estimation of counterparty credit risk under recovery risk
Castellano, Rosella; Corallo, Vincenzo; Morelli, Giacomo - In: Journal of banking & finance 140 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10013463128
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Estimation of default risk through Merton's distance to default model : an empirical study of four Indian Public Sector banks
Bendigeri, Raghavendra S. - In: International journal of business and globalisation : IJBG 37 (2024) 4, pp. 535-554
Persistent link: https://www.econbiz.de/10015063989
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Why do banks use credit default swaps (CDS)? : a systematic review
Tabassum; Yameen, Mohammad - In: Journal of economic surveys 38 (2024) 1, pp. 201-231
Persistent link: https://www.econbiz.de/10014474357
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Systematic credit risk in securitised mortgage portfolios
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012659310