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Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty

Yang, Yifan; Fabozzi, Frank J.; Bianchi, Michele Leonardo - In: Journal of financial engineering 2 (2015) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10010528392

Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads

Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273

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Pricing of credit default index swap tranches with one-factor heavy-tailed copula models

Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 16 (2009) 2, pp. 201-215

Persistent link: https://www.econbiz.de/10003839259

Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions

Papenbrock, Jochen; Račev, Svetlozar T.; … - In: Applied financial economics 19 (2009) 16/18, pp. 1401-1416

The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit risk models can be calibrated. Integrated risk...

Persistent link: https://www.econbiz.de/10003886215

Factor copula model for portfolio credit risk

Kim, Sung Ik; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-25

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Tempered stable structural model in pricing credit spread and credit default swap

Kim, Sung Ik; Kim, Young Shin - In: Review of derivatives research 21 (2018) 1, pp. 119-148

Persistent link: https://www.econbiz.de/10012055733

Exploring the systemic risk of domestic banks with ΔCoVaR and elastic-net

Bianchi, Michele Leonardo; Sorrentino, Alberto Maria - In: Journal of financial services research 62 (2022) 1/2, pp. 127-141

Persistent link: https://www.econbiz.de/10013443858

Extracting implied volatilities from bank bonds

Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 23 (2023) 7/8, pp. 1177-1197

Persistent link: https://www.econbiz.de/10014321670

Rating based modeling of credit risk : theory and application of migration matrices

Trueck, Stefan; Račev, Svetlozar T. - 2009

Persistent link: https://www.econbiz.de/10003767855

Credit portfolio risk and probability of default confidence sets through the business cycle

Trück, Stefan; Račev, Svetlozar T. - In: The journal of credit risk : published quarterly by … 1 (2005) 4, pp. 61-88

Persistent link: https://www.econbiz.de/10003274048