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On default correlation : a Cop...
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1
Survey of credit risk models in relation to capital adequacy framework for financial institutions
Nacaskul, Poomjai
- In:
Journal of governance and regulation : international …
5
(
2016
)
4
,
pp. 68-84
Persistent link: https://www.econbiz.de/10011673803
Saved in:
2
Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives
Wang, Qian
-
2006
-
1. Aufl.
Persistent link: https://www.econbiz.de/10003320531
Saved in:
3
Modeling default dependence with threshold models
Overbeck, Ludger
;
Schmidt, Wolfgang M.
-
2003
default probabilities. -- Credit default ; credit
derivative
; default dependence ; structural form models ; threshold model …
Persistent link: https://www.econbiz.de/10003853455
Saved in:
4
Can structural models price default risk? : evidence from bond and credit
derivative
markets
Ericsson, Jan
;
Reneby, Joel
;
Wang, Hao
- In:
The quarterly journal of finance
5
(
2015
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011381483
Saved in:
5
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
Saved in:
6
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Saved in:
7
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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8
Default risk of money-market fund portfolios
Bansal, Matulya
- In:
The journal of credit risk : published quarterly by …
11
(
2015
)
4
,
pp. 43-71
Persistent link: https://www.econbiz.de/10011442549
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9
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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10
Contingent credit default swaps: accurate and approximate pricing
Koziol, Christian
;
Schön, Thomas
- In:
The journal of credit risk : published quarterly by …
12
(
2016
)
1
,
pp. 75-95
Persistent link: https://www.econbiz.de/10011566278
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