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The size effect and default risk : evidence from the Vietnamese stock market

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Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

Glau, Kathrin (ed.); Grbac, Zorana (ed.); … - Conference Innovations in Derivatives Markets - Fixed … - 2016

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: "Modeling counterparty credit...

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Modeling the evolution of implied CDO correlations

Hofert, Marius; Scherer, Matthias; Zagst, Rudi - In: Financial markets and portfolio management 24 (2010) 3, pp. 289-308

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Valuation of reverse mortgages under (limited) default risk

Kolbe, Andreas; Zagst, Rudi - In: The European journal of finance 16 (2010) 3/4, pp. 305-327

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The crash-NIG copula model : risk measurement and management of credit portfolios

Schlösser, Anna; Zagst, Rudi - In: Journal of risk management in financial institutions 4 (2010/11) 4, pp. 392-418

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Asset allocation with credit instruments

Menzinger, Barbara; Schlösser, Anna; Zagst, Rudi - In: Alternative investments and strategies : credit, …, (pp. 147-173). 2010

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Pricing certificates under issuer risk

Götz, Barbara; Zagst, Rudi; Escobar, Marcos - In: Alternative investments and strategies : credit, …, (pp. 123-146). 2010

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A Three-factor defaultable term structure model

Schmid, Bernd; Zagst, Rudi - In: The journal of fixed income 10 (2000) 2, pp. 63-79

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Impact of factor models on portfolio risk measures : a structural approach

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Empirical evaluation of hybrid defaultable bond pricing models

Antes, S.; Ilg, M.; Schmid, Beat; Zagst, Rudi - In: Applied mathematical finance 15 (2008) 3/4, pp. 219-249

Persistent link: https://www.econbiz.de/10003751234