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Recovering default risk from CDS spreads with a nonlinear filter
Guarin, Alexander; Liu, Xiaoquan; Wing Lon Ng - In: Journal of economic dynamics & control 38 (2014), pp. 87-104
Persistent link: https://www.econbiz.de/10010387855
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Enhancing credit default swap valuation with meshfree methods
Guarin, Alexander; Liu, Xiaoquan; Wing Lon Ng - In: European journal of operational research : EJOR 214 (2011) 3, pp. 805-813
Persistent link: https://www.econbiz.de/10009316165
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The signalling properties of the shape of the credit default swap term structure
Castellanos, Jenny; Constantinou, Nick; Wing Lon Ng - In: Journal of risk 17 (2014/2015) 4, pp. 71-99
Persistent link: https://www.econbiz.de/10013262935