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Asset allocation with credit instruments

Menzinger, Barbara; Schlösser, Anna; Zagst, Rudi - In: Alternative investments and strategies : credit, …, (pp. 147-173). 2010

Persistent link: https://www.econbiz.de/10008655204

Modelling credit derivatives

Voort, Martinus Franciscus Antonius van der - 2008

Persistent link: https://www.econbiz.de/10003941299

The crash-NIG copula model : risk measurement and management of credit portfolios

Schlösser, Anna; Zagst, Rudi - In: Journal of risk management in financial institutions 4 (2010/11) 4, pp. 392-418

Persistent link: https://www.econbiz.de/10009507706

Essays on continuous-time portfolio optimization and credit risk

Bick, Björn - 2012

Persistent link: https://www.econbiz.de/10009546094

Pricing, implementation and calibration of credit derivatives in incomplete market

Houssou, Régis - 2011

aversion. Through stochastic optimal control methods, we use indifference pricing with exponential utility function to … determine tlie defaultable bond prices and Credit Default Swap (CDS) spreads. The Hamilton-Jacobi-Bellman (HJB) equations for … curves is studied. The calibration of tlie indifference pricing model of CDS spreads in the context of CIR-intensity is …

Persistent link: https://www.econbiz.de/10009523460

BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives

Arnsdorf, Matthias; Halperin, Igor - In: The journal of computational finance 12 (2008/09) 2, pp. 77-107

Persistent link: https://www.econbiz.de/10009534630

An analytical approach for systematic risk sensitivity of structured finance products

Claußen, Arndt; Löhr, Sebastian; Rösch, Daniel - In: Review of derivatives research 17 (2014) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10010519296

Debt collateralization and maximal leverage

Gong, Feixue; Phelan, Gregory - 2015

Persistent link: https://www.econbiz.de/10011333092

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

Exploring risk containment among Big 4 firms through credit derivatives

Lin, Ping; Zhang, Sanjian; Zhang, Gaiyan - In: International journal of services and standards 9 (2014) 2/4, pp. 146-174

Persistent link: https://www.econbiz.de/10011347655