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From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo; Khedher, Asma; Spreij, Peter - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
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Optional defaultable markets
Abdelghani, Mohamed N.; Melʹnikov, Aleksandr V. - In: Risks : open access journal 5 (2017) 4, pp. 1-21
approach to the theory of such markets using techniques from the calculus of optional stochastic processes on unusual … on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …
Persistent link: https://www.econbiz.de/10011783347
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Derivatives and default risk
Scholz, Sebastian - 2010
Upstream producers that possess market power, sell forwards with a lengthy duration to regional electricity companies (REC). As part of the liberalization of the electricity market, RECs have been privatized and exposed to a possible bankruptcy threat if spot prices have fallen below their...
Persistent link: https://www.econbiz.de/10003951795
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Three essays in dynamic economic analysis
Scholz, Sebastian - 2010
Persistent link: https://www.econbiz.de/10003986027
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Quantile hedging in a defaultable market with life insurance applications
Glazyrina, Anna; Melʹnikov, Aleksandr V. - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 248-265
Persistent link: https://www.econbiz.de/10012500262
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The impact of a dealer's failure on OTC derivatives market liquidity during volatile periods
Wall, Larry D.; Tallman, Ellis W.; Abken, Peter A. - In: Research in banking and finance 1 (2000), pp. 177-198
Persistent link: https://www.econbiz.de/10001684612
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Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy
Acharya, Viral V. (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001700287
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Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy
Acharya, Viral V.; Carpenter, Jennifer N. - In: The review of financial studies 15 (2002) 5, pp. 1355-1383
Persistent link: https://www.econbiz.de/10001718711
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Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy
Acharya, Viral V. - 2002
Persistent link: https://www.econbiz.de/10013423918
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Closed-form interpolation-based formulas for European call options written on defaultable assets
Orosi, Greg - In: The journal of asset management 16 (2015) 4, pp. 236-242
Persistent link: https://www.econbiz.de/10011413347