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No-arbitrage pricing under systeme risk : accounting for cross-ownership
Fischer, Tom - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 97-124
Persistent link: https://www.econbiz.de/10010256220
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Spread term structure and default correlation
Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223
Persistent link: https://www.econbiz.de/10011592744
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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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Crypto exchanges and credit risk : modeling and forecasting the probability of closure
Fantazzini, Dean; Calabrese, Raffaella - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-23
While there is increasing interest in crypto assets, the credit risk of these exchanges is still relatively unexplored. To fill this gap, we considered a unique dataset of 144 exchanges, active from the first quarter of 2018 to the first quarter of 2021. We analyzed the determinants surrounding...
Persistent link: https://www.econbiz.de/10012794905
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A spread-based model for the valuation of credit derivatives with correlated defaults and counter-party risks
Chang, Chuang-chang; Yu, Jih-Chieh - In: Research in finance 23 (2006), pp. 193-220
Persistent link: https://www.econbiz.de/10003753454
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Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives
Wang, Qian - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003320531
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A simple and precise method for pricing convertible bond with credit risk
Xiao, Tim - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 259-277
Persistent link: https://www.econbiz.de/10010259401
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The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
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The multivariate option iPoD framework : assessing systemic financial risk
Matros, Philipp; Vilsmeier, Johannes - 2014
We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...
Persistent link: https://www.econbiz.de/10010405480
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Valuation of credit default swaps via Bessel bridges
Valle, Gerardo Hernández del; Pacheco-González, Carlos - 2014
A credit default swap (CDS) is a financial contract in which the holder of the instrument will be compensated in the event of a loan default. When available, CDS's are used to monitor the credit risk of countries and companies. In this work we develop a closed form procedure to value a CDS in...
Persistent link: https://www.econbiz.de/10010459823