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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10009748723

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

Idiosyncratic risk, systematic risk and stochastic volatility : an implementation of Merton's credit risk valuation

Gatfaoui, Hayette - In: Advances in risk management, (pp. 107-131). 2007

Persistent link: https://www.econbiz.de/10003401593

Quantitative methods in economics and finance

Kliestik, Tomas (ed.); Valaskova, Katarina (ed.); … - 2021

The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...

Persistent link: https://www.econbiz.de/10012586709

Sensitivity of stress testing metrics to estimation risk, account behaviour and volatility for credit defaults

Djeundje, Viani Biatat; Crook, Jonathan N. - In: Journal of the Operational Research Society 74 (2023) 7, pp. 1763-1774

Persistent link: https://www.econbiz.de/10014336309

CVA with wrong way risk : sensitivities, volatility and hedging

El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10011403747

Wrong-way risk of interest rate instruments

Ben-Abdallah, Ramzi; Breton, Michèle; Marzouk, Oussama - In: The journal of credit risk : published quarterly by … 15 (2019) 2, pp. 21-44

Persistent link: https://www.econbiz.de/10012100575

Explaining credit ratings through a perpetual-debt structural model

Barone, Gaia - In: The journal of credit risk : published quarterly by … 17 (2021) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10012671409

Pricing vulnerable options with jump risk and liquidity risk

Wang, Xingchun - In: Review of derivatives research 24 (2021) 3, pp. 243-260

Persistent link: https://www.econbiz.de/10012659671

The Art of Quantitative Finance Vol.1 : Trading, Derivatives and Basic Concepts

Larcher, Gerhard - 2023

-- Basics of derivative valuation -- The Wiener Stock Price Model and the basic principles of Black-Scholes theory. … principles of Black-Scholes theory. The book’s aim is to introduce readers to the basic techniques of modern financial …

Persistent link: https://www.econbiz.de/10014248083

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