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A reduced-form contingent convertible bond model with deterministic conversion intensity
Cheridito, Patrick; Xu, Zhikai - In: Journal of risk 17 (2014/15) 3, pp. 1-18
Persistent link: https://www.econbiz.de/10011298892
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Credit valuation adjustment of cap and floor with counterparty risk : a structural pricing model for vulnerable European options
Kao, Lie-Jane - In: Review of derivatives research 19 (2016) 1, pp. 41-64
Persistent link: https://www.econbiz.de/10011742280
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Valuation of mortgage insurance contracts with counterparty default risk : reduced-form approach
Chang, Chia-Chien - In: Astin bulletin : the journal of the International … 44 (2014) 2, pp. 303-334
Persistent link: https://www.econbiz.de/10010393952
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Valuing risky debt : a new model combining structural information with the reduced-form approach
Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Insurance / Mathematics & economics 55 (2014), pp. 261-271
Persistent link: https://www.econbiz.de/10010366168
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A bridge from ruin theory to credit risk
Chen, Cho-jieh; Panjer, Harry - In: Review of quantitative finance and accounting 32 (2009) 4, pp. 373-403
Persistent link: https://www.econbiz.de/10003873808
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A reduced-form model for lease contract valuation with embedded options
Chang, Chuang-chang; Ho, Hsiao-Wei; Huang, Henry Hongren; … - In: Review of quantitative finance and accounting 62 (2024) 2, pp. 841-864
Persistent link: https://www.econbiz.de/10014503183
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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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Assessing mortgage servicing rights using a reduced-form model : considering the effects of interest rate risks, prepayment and default risks, and random state variables
Chiang, Shu Ling; Yang, Tyler; Tsai, Ming-shann - In: Journal of housing economics 32 (2016), pp. 29-46
Persistent link: https://www.econbiz.de/10011631690
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A three-factor hazard rate model for single-name credit default swap pricing
Zhong, Yangfan; Mi, Yanhui - In: The journal of credit risk : published quarterly by … 18 (2022) 2, pp. 27-63
Persistent link: https://www.econbiz.de/10014546386