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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 copula approach to credit valuation adjustment for swaps under wrong-way risk
C̆erný, Jakub; Witzany, Jir̆í - In: The journal of credit risk : published quarterly by … 14 (2018) 1, pp. 31-43
Persistent link: https://www.econbiz.de/10011885459
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Elliptical and archimedean copula models : an application to the price estimation of portfolio credit derivatives
Umeorah, Nneka; Mashele, Phillip; Ehrhardt, Matthias - In: The journal of credit risk : published quarterly by … 17 (2021) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10012519958
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The impact of counterparty risk on the basis risk of industry loss warranties and on (collateralized) reinsurance under (non-)linear dependence structures
Bockius, Heike; Gatzert, Nadine - In: The journal of risk finance : JRF 23 (2022) 3, pp. 245-263
Persistent link: https://www.econbiz.de/10013370544
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Pricing basket default swaps using quasi-analytic techniques
Umeorah, Nneka; Mashele, Phillip; Ehrhardt, Matthias - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 241-267
Persistent link: https://www.econbiz.de/10012587841
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On the dependence between default risk and recovery rates in structural models
Fermanian, Jean-David - In: Annals of economics and statistics 140 (2020), pp. 45-82
Persistent link: https://www.econbiz.de/10012602600
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Credit spreads and bankruptcy information from options data
Tzeng, Chi-Feng - In: Annals of financial economics 9 (2014) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10010489092
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The conditional dependence structure of insurance sector credit default swap indices
Tamakoshi, Go; Hamori, Shigeyuki - In: The North American journal of economics and finance : a … 30 (2014), pp. 122-132
Persistent link: https://www.econbiz.de/10010463549
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A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
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Credit risk hedging, deposit insurance fund protection, and default risk in retail banking during a financial crisis
Chen, Shi; Lin, Ku Jun - In: Research in world economy 6 (2015) 1, pp. 118-132
Persistent link: https://www.econbiz.de/10011415567