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An option theoretic model for ultimate loss-given-default with systematic recovery risk and stochastic returns on defaulted debt
Jacobs, Michael <Jr.> - In: Portfolio and risk management for central banks and …, (pp. 257-285). 2011
Persistent link: https://www.econbiz.de/10009405173
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Pricing and hedging of rating-sensitive claims modeled by F-doubly stochastic Markov chains
Jakubowski, Jacek; Niewęgłowski, Mariusz - In: Advanced mathematical methods for finance, (pp. 417-453). 2011
Persistent link: https://www.econbiz.de/10008991278
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Probability of default estimation as a credit risk parameter : Markov chain approach applied in real data
Ouranos, Vasileios; Livada, Alexandra - In: The New digital era : other emerging risks and opportunities, (pp. 151-176). 2022
Persistent link: https://www.econbiz.de/10013445611
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Sovereign risk, reserves, and implicit default probabilities : an option based spread analysis
Karmann, Alexander - In: Financial structure and stability, (pp. 232-244). 2000
Persistent link: https://www.econbiz.de/10001520923
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"Country risk-indicator. An option based evaluation" implicit default probabilities of foreign USD bonds
Karmann, Alexander; Plate, Mike - In: Datamining und computational finance : Ergebnisse des …, (pp. 43-50). 2000
Persistent link: https://www.econbiz.de/10001484234
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Sovereign risk in a structural approach : evaluating sovereign ability-to-pay and probability of default
Karmann, Alexander; Maltritz, Dominik - In: Credit risk : measurement, evaluation and management ; …, (pp. 91-109). 2003
Persistent link: https://www.econbiz.de/10002001473
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Valuation of a credit default swap: the stable non-Gaussian versus the Gaussian approach
D'Souza, Dylan; Amir-Atefi, Keyvan; Racheva-Jotova, Borjana - In: Credit risk : measurement, evaluation and management ; …, (pp. 49-84). 2003
Persistent link: https://www.econbiz.de/10002001435
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Credit contagion in a long range dependent macroeconomic factor model
Biagini, Francesca; Fuschini, Serena; Klüppelberg, Claudia - In: Advanced mathematical methods for finance, (pp. 105-132). 2011
Persistent link: https://www.econbiz.de/10008991320
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Pricing of defaultable securities under stochastic interest
Kordzakhia, Nino; Novikov, Alexander - In: Mathematical control theory and finance, (pp. 251-263). 2008
Persistent link: https://www.econbiz.de/10003755613
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MCMC methods for continuous-time financial econometrics
Johannes, Michael; Polson, Nicholas G. - 2010
Persistent link: https://www.econbiz.de/10003900732