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Credit risk and contagion via self-exciting default intensity
Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 3/4, pp. 319-344
Persistent link: https://www.econbiz.de/10011459064
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The regime-switching structural default risk model
Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33
We develop the regime-switching default risk (RSDR) model as a generalization of Merton's default risk (MDR) model. The RSDR model supports an expanded range of asset probability density functions. First, we show using simulation that the RSDR model incorporates sudden changes in asset values...
Persistent link: https://www.econbiz.de/10014497430
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Merton's model with recovery risk
Cohen, Albert; Costanzino, Nick - In: The journal of credit risk : published quarterly by … 18 (2022) 2, pp. 93-118
Persistent link: https://www.econbiz.de/10014546392
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Default-risky bond prices with jumps, liquidity risk and incomplete information
Jeanblanc, Monique; Valchev, Stoyan - In: Decisions in economics and finance : DEF ; a journal of … 30 (2007) 2, pp. 109-136
Persistent link: https://www.econbiz.de/10003630273
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Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander - In: Review of derivatives research 14 (2011) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10009272496
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Markov regenerative credit rating model
Pasricha, Puneet; Selvamuthu, Dharmaraja; Arunachalam, … - In: Journal of risk finance : the convergence of financial … 18 (2017) 3, pp. 311-325
Persistent link: https://www.econbiz.de/10011742799
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Some asymptotic results on non-standard likelihood ratio tests, and Cox process modeling in finance
Szimayer, Alexander (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001758056
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A multivariate default model with spread and event risk
Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; … - In: Applied mathematical finance 21 (2014) 1/2, pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
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Pricing default risk in stochastic time
Harju, Antti J. - In: The journal of credit risk : published quarterly by … 19 (2023) 3, pp. 23-49
Persistent link: https://www.econbiz.de/10014489139
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Defaultable sovereign debts with macroeconomic conditions and periodic news
Li, Weiping - In: International journal of financial engineering 8 (2021) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10012654826