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Stock price default boundary : a Black-Cox model approach
Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013455157
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The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
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Corporate credit risk prediction under stochastic volatility and jumps
Bu, Di; Liao, Yin - In: Journal of economic dynamics & control 47 (2014), pp. 263-281
Persistent link: https://www.econbiz.de/10010485852
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Calibration and Backtesting of the Heston Model for Counterparty Credit Risk
de Innocentis, Marco - 2018
We describe a fast new method for the market implied calibration of the Heston (1993) model for equity, based on an improved version of the parabolic pricing algorithm of Levendorskii (2012). This pricing method, when used in the calibration, is much faster and more accurate, and better...
Persistent link: https://www.econbiz.de/10012936313
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Liquidity in Credit Default Swap markets
Arakelyan, Armen; Serrano, Pedro - In: Journal of multinational financial management 37/38 (2016), pp. 139-157
Persistent link: https://www.econbiz.de/10011720264
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Credit default swaps and firm risk
Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
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Hedging stock sector risk with credit default swaps
Ratner, Mitchell; Chiu, Chih-Chieh - In: International review of financial analysis 30 (2013), pp. 18-25
Persistent link: https://www.econbiz.de/10010460003
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Macro risk factors of credit default swap indices in a regime-switching framework
Kam Fong Chan; Marsden, Alastair - In: Journal of international financial markets, … 29 (2014), pp. 285-308
Persistent link: https://www.econbiz.de/10010412144
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Kreditderivate : zwischen Kapitalmarkt und bankbetrieblicher Verwendung
Norden, Lars - 2004
Persistent link: https://www.econbiz.de/10002221342
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Credit Default Swap & Variance Risk Premia
Zgolli, Ghada - 2012
. The explanatory power of the theoretical variables for levels of default swap premia is approximately 89%. The explanatory … explanatory power for credit default swap premia. A principal component analysis of the residuals and the premia shows that there … important determinants of credit default swap premia, as predicted by theory …
Persistent link: https://www.econbiz.de/10013096403