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A Levy model for default dependence
Thompson, Allan James - 2006
Persistent link: https://www.econbiz.de/10003908315
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Credit derivatives : instruments, applications and pricing methods
Lautscham, Volkmar - 2007
Persistent link: https://www.econbiz.de/10003533088
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A critical review of neoclassical modeling techniques in structured finance
Fahey, Brian - In: Journal of post-Keynesian economics : JPKE 35 (2013) 3, pp. 319-340
Persistent link: https://www.econbiz.de/10009759928
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Financial innovation and bank behavior : evidence from credit markets
Norden, Lars; Silva Buston, Consuelo; Wagner, Wolf - In: Journal of economic dynamics & control 43 (2014), pp. 130-145
Persistent link: https://www.econbiz.de/10010470135
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An empirical analysis of dynamic dependences in the European corporate credit markets : bonds versus credit derivatives
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio - In: Applied financial economics 24 (2014) 7/9, pp. 605-619
Persistent link: https://www.econbiz.de/10010402682
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Asymmetric information and opacity in credit derivatives markets
Nicolò, Antonio; Pelizzon, Loriana - In: The credit derivatives handbook : global perspectives, …, (pp. 57-75). 2008
Persistent link: https://www.econbiz.de/10003748402
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The determinants of the price of credit risk : an empirical analysis of the CDS, bond and equity markets
Harasta, Balazs - 2008
Persistent link: https://www.econbiz.de/10003816605
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Märkte für Kreditrisiken und ihre Auswirkung auf die Intermediationsfunktion von Banken
Pausch, Thilo - 2006
Persistent link: https://www.econbiz.de/10003371974
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Credit derivatives & synthetic structures : a guide to instruments and applications
Tavakoli, Janet M. - 2001 - 2. ed.
Persistent link: https://www.econbiz.de/10001565638
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Endogenous Recovery and Replication of A Segregated Derivatives Economy with Counterparty Credit, Collateral, and Market Funding
Lou, Wujiang - 2016
We cast the ongoing debate on FVA onto a segregated derivative economy, where counterparties are defaultable and unable … additional terms, reflecting different sources of funding and hedging costs, each corresponding to CVA, DVA, and FVA. For non …
Persistent link: https://www.econbiz.de/10013007738