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The sources of sovereign risk : a calibration based on Lévy stochastic processes

Carré, Sylvain; Cohen, Daniel; Villemot, Sebastien - In: Journal of international economics 118 (2019), pp. 31-43

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Rare disasters, credit, and option market puzzles

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Implications of implicit credit spread volatilities on interest rate modelling

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Pricing vulnerable basket spread options with liquidity risk

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Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform

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Pricing vulnerable claims in a Lévy-driven model

Capponi, Agostino; Pagliarani, Stefano; Vargiolu, Tiziano - In: Finance and stochastics 18 (2014) 4, pp. 755-789

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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

Explaining credit ratings through a perpetual-debt structural model

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The Leland-Toft optimal capital structure model under Poisson observations

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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 - 2010

In this study we develop a theoretical model for ultimate loss-given default in the Merton (1974) structural credit risk model framework, deriving compound option formulae to model differential seniority of instruments, and incorporating an optimal foreclosure threshold. We consider an extension...

Persistent link: https://www.econbiz.de/10013147946