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An asset protection scheme for banks exposed to troubled loan portfolios
Grosen, Anders; Jessen, Pernille; Kokholm, Thomas - In: Journal of economics and finance 38 (2014) 4, pp. 568-588
Persistent link: https://www.econbiz.de/10011333830
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Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10009748714
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Benchmark approach for defaultable claims under partial information
Raju, I. Venkat Appal; Selvaraju, N. - In: International journal of financial engineering and risk … 1 (2013) 2, pp. 170-192
Persistent link: https://www.econbiz.de/10010197913
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A tree Implementation of a credit spread model for credit derivatives
Schönbucher, Philipp J. - 2000 - This version June 1999
In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable...
Persistent link: https://www.econbiz.de/10011538904
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Credit derivatives and loan yields
Azam, Nimita; Mamun, Abdullah al; Tannous, George F. - In: The financial review : the official publication of the … 57 (2022) 1, pp. 205-241
Persistent link: https://www.econbiz.de/10012819512
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Pros and cons of using derivatives
Gogoncea, Ramona; Paun, Ioana-Diana - In: Theoretical and applied economics : GAER review 20 (2013) 9, pp. 87-102
Persistent link: https://www.econbiz.de/10010190844
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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
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Dynamic defaultable term structure modeling beyond the intensity paradigm
Gehmlich, Frank; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 211-239
Persistent link: https://www.econbiz.de/10011969156
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Clearinghouse margin requirements
Capponi, Agostino; Cheng, W. Allen - In: Operations research 66 (2018) 6, pp. 1542-1558
Persistent link: https://www.econbiz.de/10011971659
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Credit default swap and liquidity
Al-Qaisi, Khaldoun Maddallah; Al-Batayneh, Rafat Mohd Soudki - In: International journal of economics and financial issues … 7 (2017) 2, pp. 697-700
Persistent link: https://www.econbiz.de/10011809108