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Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010
We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...
Persistent link: https://www.econbiz.de/10010300362
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Pricing derivative credit risk
Ammann, Manuel - 1998
Persistent link: https://www.econbiz.de/10000674017
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Pricing CDX credit default swaps using the Hull-White model
Hofberger, Bastian; Wagner, Niklas - In: Credit risk : models, derivatives, and management, (pp. 197-208). 2008
Persistent link: https://www.econbiz.de/10003718475
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Univariate credit risk pricing
Servigny, Arnaud de; Henrotte, Philippe - In: The handbook of structured finance, (pp. 91-135). 2007
Persistent link: https://www.econbiz.de/10003727132
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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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Pricing of defaultable securities under stochastic interest
Kordzakhia, Nino; Novikov, Alexander - In: Mathematical control theory and finance, (pp. 251-263). 2008
Persistent link: https://www.econbiz.de/10003755613
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Factor model for stress-testing with a contingent claims model of the Chilean banking system
Gray, Dale; Walsh, James P. - 2008
Persistent link: https://www.econbiz.de/10003738026
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Pricing reinsurance contracts on FDIC losses
Madan, Dilip B.; Unal, Haluk - In: Financial markets, institutions & instruments 17 (2008) 3, pp. 225-247
Persistent link: https://www.econbiz.de/10003738791
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A unified approach to interest rate risk and credit risk of cash and derivative instruments
Dym, Steven I. - 2008
Persistent link: https://www.econbiz.de/10003765087