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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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A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default
Eckert, Johanna; Jakob, Kevin; Fischer, Matthias - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 97-119
Persistent link: https://www.econbiz.de/10011566295
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Modelling the US sovereign credit rating
Polito, Vito; Wickens, Michael R. - In: Journal of banking & finance 46 (2014), pp. 202-218
Persistent link: https://www.econbiz.de/10010467823
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Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
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Modelling systematic risk and point-in-time probability of default under the Vasicek asymptotic single-risk-factor model framework
Yang, Bill Huajian - In: The journal of risk model validation 8 (2014) 3, pp. 33-48
Persistent link: https://www.econbiz.de/10010423905
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Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain
Dong, Yinghui; Wang, Guojing - In: Economic modelling 40 (2014), pp. 91-100
Persistent link: https://www.econbiz.de/10010425718
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Contagion effects and collateralized credit value adjustments for credit default swaps
Frey, Rüdiger; Rösler, Lars - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10010498864
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Rehypothecation dilemma : impact of collateral rehypothecation on derivative prices under bilateral counterparty credit risk
Sakurai, Yuji; Uchida, Yoshihiko - In: Journal of banking & finance 48 (2014), pp. 361-373
Persistent link: https://www.econbiz.de/10010508116
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Identifying future defaulters : a hierarchical Bayesian method
Liu, Fan; Hua, Zhongsheng; Lim, Andrew - In: European journal of operational research : EJOR 241 (2015) 1, pp. 202-211
Persistent link: https://www.econbiz.de/10010486875
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Credit risk in general equilibrium
Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - In: Economic theory : official journal of the Society for … 57 (2014) 2, pp. 407-435
Persistent link: https://www.econbiz.de/10010436189