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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

Pricing credit card loans with default risks : a discrete-time approach

Chang, Chuang-chang; Ho, Ruey-Jenn; Lee, Cheng F. - In: Review of quantitative finance and accounting 34 (2010) 4, pp. 413-438

Persistent link: https://www.econbiz.de/10008797166

Credit Enhancement and Loan Default Risk Premiums

Chang, Chuang-Chang - 2015

Using contingent claims analysis, we study the impact of private guarantees on the default risk premiums or credit spreads of discount loans. Specifically, we analyze the reduction of the default risk premium on a new junior loan by obtaining the numerical estimates under a stochastic interest...

Persistent link: https://www.econbiz.de/10013026387

Risk-shifting behavior at commercial banks with different deposit insurance assessments : further evidence from US markets

Chang, Chuang-chang; Ho, Ruey-Jenn - In: The journal of financial research 40 (2017) 1, pp. 55-80

Persistent link: https://www.econbiz.de/10011723098

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