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A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
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Essays on credit risk, interest rate risk and macroeconomic risk
Hou, Yuanfeng - 2003
Persistent link: https://www.econbiz.de/10003628359
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How well do classical credit risk pricing models fit swap transaction data?
Cossin, Didier - In: European financial management : the journal of the … 4 (1998) 1, pp. 65-77
Persistent link: https://www.econbiz.de/10001244082
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Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
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Should bank loan portfolio be diversified under government capital injection and deposit insurance fund protection?
Chen, Shi; Chang, Chuen-Ping - In: International review of economics & finance : IREF 38 (2015), pp. 131-141
Persistent link: https://www.econbiz.de/10011572342
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Optimal portfolios with credit default swaps
Ambrosini, Giuseppe; Menoncin, Francesco - In: Journal of financial services research : JFSR 54 (2018) 1, pp. 81-109
Persistent link: https://www.econbiz.de/10012024972
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Initial margin estimations for credit default swap portfolios
Ivanov, Stanislav - In: The journal of financial market infrastructures 5 (2017) 4, pp. 22-49
Persistent link: https://www.econbiz.de/10011729219
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A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra; Vázquez, Carlos - In: The journal of computational finance 24 (2020) 3, pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
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A robust decision support approach to portfolio risk reduction based on credit default swap
Wu, Dexiang; Wu, Desheng Dash - In: The journal of fixed income 27 (2018) 3, pp. 86-95
Persistent link: https://www.econbiz.de/10011803854
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Bayesian estimation of probabilities of default for low default portfolios
Tasche, Dirk - In: Journal of risk management in financial institutions 6 (2012/13) 3, pp. 302-326
Persistent link: https://www.econbiz.de/10010197067