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Modeling loss given default with stochastic collateral

Frontczak, Robert; Rostek, Stefan - In: Economic modelling 44 (2015), pp. 162-170

Persistent link: https://www.econbiz.de/10011326261

Dependence of defaults and recoveries in structural credit risk models

Schäfer, Rudi; Koivusalo, Alexander F. R. - In: Economic modelling 30 (2013), pp. 1-9

Persistent link: https://www.econbiz.de/10009702275

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

Provisioning against borrowers default risk

Nichil, Geoffrey; Vallois, Pierre - In: Insurance / Mathematics & economics 66 (2016), pp. 29-43

Persistent link: https://www.econbiz.de/10011442670

Risk analysis probability of default : a stochastic simulation model

Montesi, Giuseppe; Papiro, Giovanni - In: The journal of credit risk : published quarterly by … 10 (2014) 3, pp. 29-86

Persistent link: https://www.econbiz.de/10010426467

Modelling default contagion using multivariate phase-type distributions

Herbertsson, Alexander - In: Review of derivatives research 14 (2011) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10009272496

Giesecke, Kay - In: Journal of banking & finance 28 (2004) 7, pp. 1521-1545

Persistent link: https://www.econbiz.de/10002100479

Giesecke, Kay - 2002

Persistent link: https://www.econbiz.de/10001684707

A Markov chain model with stochastic default rate for valuation of credit spreads

Kodera, Eiji - In: The journal of derivatives : the official publication … 8 (2001) 4, pp. 8-18

Persistent link: https://www.econbiz.de/10001613575

Default Risk in Stochastic Volatility Models

Gersbach, Hans - 2010

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm's values instead of the classical approach by Merton with geometric Brownian motions. We develop an analytical expression for the default probability. Our simulation results indicate that the...

Persistent link: https://www.econbiz.de/10013138808

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