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Optimal risk sharing and dividend strategies under default contagion : a semi-analytical approach

Qiu, Ming; Jin, Zhuo; Li, Shuanming - In: Insurance / Mathematics & economics 113 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014466202

Rating migration and bond valuation : decomposing rating migration matrices from market data via default probability term structures

Barnard, Brian - In: Expert journal of finance 5 (2017), pp. 49-72

Persistent link: https://www.econbiz.de/10011749658

The impact of different default triggers on CMBS risk evaluation

Christopoulos, Andreas D. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 65-91

Persistent link: https://www.econbiz.de/10011700690

Intertemporal forecasts of defaulted bond recoveries and portfolio losses

Kalotay, Egon A.; Altman, Edward I. - In: Review of finance : journal of the European Finance … 21 (2017) 1, pp. 433-463

Persistent link: https://www.econbiz.de/10011778628

Large portfolio asymptotics for loss from default

Giesecke, Kay; Spiliopoulos, Konstantinos; Sowers, R. B.; … - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 77-114

Persistent link: https://www.econbiz.de/10011347245

A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default

Maciag, Jakob; Löderbusch, Matthias - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 37-74

Persistent link: https://www.econbiz.de/10012041612

A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies

Altman, Edward I. - In: The journal of credit risk : published quarterly by … 14 (2018) 4, pp. 1-34

Persistent link: https://www.econbiz.de/10012041794

Crypto exchanges and credit risk : modeling and forecasting the probability of closure

Fantazzini, Dean; Calabrese, Raffaella - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-23

While there is increasing interest in crypto assets, the credit risk of these exchanges is still relatively unexplored. To fill this gap, we considered a unique dataset of 144 exchanges, active from the first quarter of 2018 to the first quarter of 2021. We analyzed the determinants surrounding...

Persistent link: https://www.econbiz.de/10012794905

Rating migration and bond valuation : a historical interest rate and default probability term structures

Barnard, Brian - In: Expert journal of finance 6 (2018) 1, pp. 16-39

Persistent link: https://www.econbiz.de/10012053529

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111

Persistent link: https://www.econbiz.de/10014540601